Comparative analysis of mature and emerging markets\' stock market indices using Hurst exponents

Agnieszka Kapecka ()
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Agnieszka Kapecka: Warsaw School of Economics

Acta Universitatis Nicolai Copernici, Ekonomia, 2015, vol. 46, issue 1, 59-75

Abstract: Presented paper contains the results of the research on the comparative analysis of presence of long memory dependencies in logarithmic returns of stock market indices of mature and emerging markets. The main goal of the research was to verify the dependency between the value of Hurst exponent, the type of the market and economic factors. In order to achieve this, rescaled range analysis method was used.

Keywords: Hurst exponent; rescaled range analysis; R/S analysis; mature markets; emerging markets (search for similar items in EconPapers)
JEL-codes: G14 G15 G17 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkanc:2015:p:59-75

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