Generalized Hurst exponent approach to efficiency in MENA markets
Date
2013
Authors
Sensoy, A.
Editor(s)
Advisor
Supervisor
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Instructor
Source Title
Physica A: Statistical Mechanics and its Applications
Print ISSN
0378-4371
Electronic ISSN
1873-2119
Publisher
Elsevir BV
Volume
392
Issue
20
Pages
5019 - 5026
Language
English
Type
Journal Title
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Abstract
We study the time-varying efficiency of 15 Middle East and North African (MENA) stock markets by generalized Hurst exponent analysis of daily data with a rolling window technique. The study covers a time period of six years from January 2007 to December 2012. The results reveal that all MENA stock markets exhibit different degrees of long-range dependence varying over time and that the Arab Spring has had a negative effect on market efficiency in the region. The least inefficient market is found to be Turkey, followed by Israel, while the most inefficient markets are Iran, Tunisia, and UAE. Turkey and Israel show characteristics of developed financial markets. Reasons and implications are discussed.