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...
| Main Author: | |
|---|---|
| Other Authors: | , |
| Format: | article |
| Language: | por |
| Published: |
2019
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10174/23962 |
| Country: | Portugal |
| Oai: | oai:dspace.uevora.pt:10174/23962 |
| Summary: | 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. |
|---|