Non-linear dependencies in African stock markets: Was subprime crisis an important factor?
The historical dependence in stock markets it is a very explored issue, especially in developed markets. In this paper we try to address the question of global dependency in African stock markets, and for that purpose we use a global approach able to capture the long-term dependencies being linear o...
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| Outros Autores: | , |
| Formato: | article |
| Idioma: | por |
| Publicado em: |
2019
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10174/23962 |
| País: | Portugal |
| Oai: | oai:dspace.uevora.pt:10174/23962 |
| Resumo: | The historical dependence in stock markets it is a very explored issue, especially in developed markets. In this paper we try to address the question of global dependency in African stock markets, and for that purpose we use a global approach able to capture the long-term dependencies being linear or non-linear ones. Are there significant differences in terms of results compared to the major international markets? Results point to an affirmative answer. The Hurst exponent shows that long-term dependence is probably linked not only to size or liquidity. |
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