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Analysis of the efficiency of Hong Kong REITs market based on Hurst exponent
16 references·3 citing·37 second hop
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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1978Some anomalous evidence regarding market efficiency1,419 cited
  • 1994Fractal Market Analysis: Applying Chaos Theory to Investment and Economics983 cited
  • 1968The Random Character of Stock Market Prices926 cited
  • 1991Chaos and order in the capital markets566 cited
  • 1977Long-term dependence in common stock returns478 cited
  • 1992Chaos and order in the capital markets: a new view of cycles, prices, and market volatility423 cited
  • 2010THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE408 cited
  • 1995Long Memory in Inflation Rates: International Evidence315 cited
  • 2004The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective296 cited
  • 2008Some comments on Hurst exponent and the long memory processes on capital markets276 cited

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1965
The Random Character of Stock Market Prices.
266 cited

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  • 2023Volatility spillover and hedging strategies between the European carbon emissions and energy markets81 cited
  • 2020A NOVEL R/S FRACTAL ANALYSIS AND WAVELET ENTROPY CHARACTERIZATION APPROACH FOR ROBUST FORECASTING BASED ON SELF-SIMILAR TIME SERIES MODELING41 cited
  • 2021Corporate Governance Mechanisms with Firm Performance: A Study on Malaysia's and Hong Kong's Real Estate Investment Trust (REITs) Public Listed Companies15 cited