Frontier markets’ efficiency: mutual information and detrended fluctuation analyses

Wahbeeah Mohti (), Andreia Dionisio, Paulo Ferreira and Isabel Vieira ()
Additional contact information
Wahbeeah Mohti: Universidade de Évora

Journal of Economic Interaction and Coordination, 2019, vol. 14, issue 3, No 6, 572 pages

Abstract: Abstract This study tests weak form efficiency in frontier markets. Mutual information and detrended fluctuation analyses are performed to assess global correlation and long range dependence in the stock markets of twenty three countries. The results indicate that Slovenia is the only case where there is evidence compatible with weak form efficiency. The relatively less inefficient markets are mainly located in Europe and America, and the relatively more inefficient mainly in the Middle East. This information is useful for investors, but also for the assessed countries’ regulators as they indicate that relevant impediments are preventing the exploitation of potential profitable opportunities.

Keywords: Mutual information analysis; Detrended fluctuation analysis; Non-linear dependence; Weak form efficient; Frontier markets (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://link.springer.com/10.1007/s11403-018-0224-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jeicoo:v:14:y:2019:i:3:d:10.1007_s11403-018-0224-9

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/11403/PS2

DOI: 10.1007/s11403-018-0224-9

Access Statistics for this article

Journal of Economic Interaction and Coordination is currently edited by A. Namatame, Thomas Lux and Shu-Heng Chen

More articles in Journal of Economic Interaction and Coordination from Springer, Society for Economic Science with Heterogeneous Interacting Agents Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().