Generalized Hurst exponent approach to efficiency in MENA markets

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dc.citation.epage5026en_US
dc.citation.issueNumber20en_US
dc.citation.spage5019en_US
dc.citation.volumeNumber392en_US
dc.contributor.authorSensoy, A.en_US
dc.date.accessioned2016-02-08T09:34:44Z
dc.date.available2016-02-08T09:34:44Z
dc.date.issued2013en_US
dc.departmentDepartment of Mathematicsen_US
dc.description.abstractWe 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.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T09:34:44Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2013en
dc.identifier.doi10.1016/j.physa.2013.06.041en_US
dc.identifier.eissn1873-2119
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/11693/20762
dc.language.isoEnglishen_US
dc.publisherElsevir BVen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.physa.2013.06.041en_US
dc.source.titlePhysica A: Statistical Mechanics and its Applicationsen_US
dc.subjectGeneralizeden_US
dc.subjectHurst exponenten_US
dc.subjectMarket efficiencyen_US
dc.subjectMENAen_US
dc.subjectRolling windowen_US
dc.subjectGeneralizeden_US
dc.subjectHurst exponentsen_US
dc.subjectMarket efficiencyen_US
dc.subjectMENAen_US
dc.subjectRolling windowen_US
dc.subjectEfficiencyen_US
dc.subjectFinanceen_US
dc.subjectCommerceen_US
dc.titleGeneralized Hurst exponent approach to efficiency in MENA marketsen_US
dc.typeArticleen_US

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