Time-varying long range dependence in market returns of FEAS members

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dc.citation.epage45en_US
dc.citation.spage39en_US
dc.citation.volumeNumber53en_US
dc.contributor.authorSensoy, A.en_US
dc.date.accessioned2016-02-08T09:38:12Z
dc.date.available2016-02-08T09:38:12Z
dc.date.issued2013en_US
dc.departmentDepartment of Mathematicsen_US
dc.description.abstractWe study the time-varying efficiency of nineteen members of the Federation of Euro-Asian Stock Exchanges (FEAS - an international organization comprising the main stock exchanges in Eastern Europe, the Middle East and Central Asia) by generalized Hurst exponent analysis of daily data with a rolling window technique. The study covers the six years of time period between January 2007 and December 2012. The results reveal that all FEAS members exhibit different degrees of long range dependence varying over time. We present an efficiency ranking of these members that provides guidance for investors and portfolio managers. Results show that the least inefficient market is Turkey followed by Romania while the most inefficient markets are Iran, Mongolia, Serbia and Macedonia. Throughout the considered time period, Turkey's stable Hurst exponent around 0.5 differs from others and shows characteristics of a developed financial market. For the federation members, strong positive relationship between efficiency and market liquidity is revealed. In the light of this fact, alternatives are suggested to improve market efficiency.en_US
dc.identifier.doi10.1016/j.chaos.2013.05.004en_US
dc.identifier.eissn1873-2887
dc.identifier.issn0960-0779
dc.identifier.urihttp://hdl.handle.net/11693/20931
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.chaos.2013.05.004en_US
dc.source.titleChaos, Solitons and Fractalsen_US
dc.subjectEfficiency rankingsen_US
dc.subjectFinancial marketen_US
dc.subjectGeneralized hurst exponenten_US
dc.subjectInternational organizationsen_US
dc.subjectLong range dependenceen_US
dc.subjectMarket efficiencyen_US
dc.subjectMarket liquidityen_US
dc.subjectPortfolio managersen_US
dc.subjectEfficiencyen_US
dc.subjectInvestmentsen_US
dc.subjectCommerceen_US
dc.titleTime-varying long range dependence in market returns of FEAS membersen_US
dc.typeArticleen_US
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