Investigation of Fractal Market Hypothesis in Emerging Markets: Evidence from the MINT Stock Markets
Organizations and Markets in Emerging Economies, 2022 This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis.
Yunus Karaömer
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EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA
Copernican Journal of Finance & Accounting, 2021 The present study examines the long memory in stock liquidity and returns in Indian equity market by using data for broad indices from January, 1997 to December, 2019 by applying the hurst exponent (1951) rescaled range analysis. It is observed that time
Anju Bala, Kapil Gupta
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Comparing of Volatility Transmission Model with Consideration of Long Memory Effect; Case Study: Three Selected Industry Index [PDF]
تحقیقات مالی, 2013 When the past observations are correlated with future observations and their correlation is significant, the time series has long memory. In this paper the contagion effect of volatilities, with consideration of long-run effect, is investigated.
Seyed Mohammad Seyedhosseini +1 more
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Use of fresh water over the long run measuring persistence
Water Policy, 2022 In this article, we carry out a study of the degree of persistence of a time series of data on freshwater use in the long term, using fractional integration or I(d) techniques. Using annual data from 1901 to 2014, we observe that the order of integration
Marta del Rio +2 more
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An ANOVA-type test for multiple change points in the mean of long memory time sequence
Xi'an Gongcheng Daxue xuebao, 2021 In order to study the multiple change points test of the mean of linear long memory, the ANOVA statistics was constructed and the limit distribution was proved under the hypothesis condition.
Dou LIU, Wenzhi ZHAO
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İzmir İktisat Dergisi, 2023 Hisse senedi piyaysasında fiyat oluşurken menkul kıymete ilişkin tüm bilgiler, fiyat oluşumunu etkilemektedir. Hisse senedi piyasalarında uzun hafızanın varlığı, ilgili piyasaların zayıf formda etkin olmadığını göstermektedir. Bu çalışmada, 01/09/2008-30/
Savaş Tarkun
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The structure of contemporaneous price-volume relationships in financial markets
Managerial Economics, 2014 The main goal of this paper is an examination of the interdependence stuctures of stock returns, volatility and trading volumes of companies listed on the CAC40 and FTSE100. The authors establish that the mean values of respective measures are different
Henryk Gurgul, Robert Syrek
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The permanent rebellion: An interpretation of Mapuche uprisings under Chilean colonialism
Radical Americas, 2021 This article approaches the rebellions of the Mapuche people from a longue-durée perspective, from the Occupation of the Araucanía in 1861 to the recent events of 2020.
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Forecasting volatility with component conditional autoregressive range model [PDF]
فصلنامه بورس اوراق بهادارThe purpose of this research is to achieve a suitable model for forecasting volatility of a broad market index. In this paper the CCARR model is proposed for forecasting volatility and its estimation results are compared with the popular GARCH, CGARCH ...
MohammadMahdi Bahrololoum +2 more
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Is Bitcoin’s Carbon Footprint Persistent? Multifractal Evidence and Policy Implications
Entropy, 2022 The Bitcoin mining process is energy intensive, which can hamper the much-desired ecological balance. Given that the persistence of high levels of energy consumption of Bitcoin could have permanent policy implications, we examine the presence of long ...
Bikramaditya Ghosh, Elie Bouri
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