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Ranking efficiency for emerging markets
4 references·16 citing·42 second hop
Ranking efficiency for emerging markets (2004)Ranking efficiency for emerging marketsLong memory in the Greek stock market (2000)Long memory in the Greek stoc…A search for long memory in international stock market returns (1995)A search for long memory in i…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic (2021)Analysis of stock market effi…Cryptocurrencies market efficiency ranking: Not so straightforward (2019)Cryptocurrencies market effic…Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen? (2018)Does Bitcoin exhibit the same…The interactive relationship between the US economic policy uncertainty and BRIC stock markets (2016)The interactive relationship …Irreversibility of financial time series: A graph-theoretical approach (2016)Irreversibility of financial …Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis (2016)Global financial crisis and w…Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone (2015)Has the 2008 financial crisis…Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy (2014)Measuring capital market effi…Measuring capital market efficiency: Global and local correlations structure (2012)Measuring capital market effi…Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA (2012)Asymmetric multifractal scali…Multifractal detrending moving average analysis on the US Dollar exchange rates (2011)Multifractal detrending movin…Commodity predictability analysis with a permutation information theory approach (2010)Commodity predictability anal…Multifractal structure in Latin-American market indices (2008)Multifractal structure in Lat…Wavelet based hurst exponent and fractal dimensional analysis of Saudi climatic dynamics (2007)Wavelet based hurst exponent …Ranking market efficiency for stock markets: A nonlinear perspective (2006)Ranking market efficiency for…Ranking efficiency for emerging equity markets II☆ (2004)Ranking efficiency for emergi…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Analysis of market efficiency for the Shanghai stock market over time (2010)Multifractal detrended cross-correlations between the Chinese exchange market and stock market (2012)The Econometrics of Financial Markets (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Expected stock returns and volatility (1987)Long-term dependence in stock returns (1996)Empirical evidence of long-range correlations in stock returns (2000)Wavelet analysis of stock returns and aggregate economic activity (2007)Fractional Brownian Motions, Fractional Noises and Applications (1968)Complexity testing techniques for time series data: A comprehensive literature review (2015)Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets (2020)Extreme Correlation of International Equity Markets (2001)International Asset Allocation With Regime Shifts (2002)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis (2019)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Can economic policy uncertainty and investors sentiment predict commodities returns and volatility? (2017)Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production (2017)The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging (2019)Some long‐run properties of geophysical records (1969)Detecting long-range correlations with detrended fluctuation analysis (2001)Effect of trends on detrended fluctuation analysis (2001)Bitcoin price–volume: A multifractal cross-correlation approach (2018)Asymmetric multifractal cross-correlations between the main world currencies and the main cryptocurrencies (2019)Analysis of the impact of COVID-19 on the correlations between crude oil and agricultural futures (2020)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange (2008)On Hurst exponent estimation under heavy-tailed distributions (2010)Do emerging markets become more efficient as they develop? Long memory persistence in equity indices (2013)The Behavior of Stock-Market Prices (1965)Twitter and Market Efficiency in Energy Markets: Evidence Using Lda Clustered Topic Extraction (2022)Forecasting the S&P 500 Index Using Mathematical-Based Sentiment Analysis and Deep Learning Models: A FinBERT Transformer Model and LSTM (2023)Spillover effects between fossil energy and green markets: Evidence from informational inefficiency (2024)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The econometrics of financial markets (1996)
this work references cited by second hop

References

  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1995A search for long memory in international stock market returns236 cited
  • 2000Long memory in the Greek stock market191 cited

Cited by

  • 2012Measuring capital market efficiency: Global and local correlations structure185 cited
  • 2016The interactive relationship between the US economic policy uncertainty and BRIC stock markets182 cited
  • 2018Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?162 cited
  • 2012Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA145 cited
  • 2006Ranking market efficiency for stock markets: A nonlinear perspective137 cited
  • 2021Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic134 cited
  • 2004Ranking efficiency for emerging equity markets II☆131 cited
  • 2015Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone127 cited
  • 2011Multifractal detrending moving average analysis on the US Dollar exchange rates111 cited
  • 2008Multifractal structure in Latin-American market indices

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107 cited
  • 2016Irreversibility of financial time series: A graph-theoretical approach106 cited
  • 2019Cryptocurrencies market efficiency ranking: Not so straightforward98 cited
  • 2016Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis91 cited
  • 2007Wavelet based hurst exponent and fractal dimensional analysis of Saudi climatic dynamics89 cited
  • 2010Commodity predictability analysis with a permutation information theory approach89 cited
  • 2014Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy89 cited