Non-linear dependencies in African stock markets: Was subprime crisis an important factor?

Abstract

h i g h l i g h t s• It is applied the DFA to analyse the behaviour of 12 African stock indices.• The results point to the existence of statistically significant serial dependence.• Dependence is higher in African stock markets, when compared with other indices. a b s t r a c tThe 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.

Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency

“…On this basis, to explore the presence of market memory is an alternative method to test the market efficiency. Relevant contributions are Beben and Orłowski [26], DiMatteo et al [27], Zunino et al [28], Cajueiro [29], Kristoufek [30], Ferreira et al [31], Kristoufek [32] and Dimitrova et al [33].…”

The Size Effect and the Value Effect in the American Stock Market

“…Our study assesses the effects of the GFC (the Lehman Brothers bankruptcy on September 15, 2008, is used as a breakpoint to divide the sample) on efficiency ranking (e.g. Mensi et al,2017 ;Ferreira et al ,2018). The effects of the GFC provide evidence for two sub-samples: January 2000 -September 15, 2008, and September 16, 2008 -March 2018.…”