Dynamic efficiency of stock markets and exchange rates

Ahmet Sensoy and Benjamin Tabak

International Review of Financial Analysis, 2016, vol. 47, issue C, 353-371

Abstract: We use generalized Hurst exponents to investigate long-range dependence across countries that have implemented an inflation targeting monetary policy regime and have a floating currency regime. We show that the degree of long-range dependence has changed after the 2008 crisis for equity markets but not as much for exchange rate markets. We compare results for developed and emerging economies and find that there still are some important differences but not as they were before the crisis. We also include an additional set of relevant countries and find that our results are more pronounced for inflation targeters. We discuss several implications of these results.

Keywords: Hurst exponent; Market efficiency; Exchange rate; Stock market; Emerging markets; Developed markets (search for similar items in EconPapers)
JEL-codes: C65 F31 G01 G14 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:47:y:2016:i:c:p:353-371

DOI: 10.1016/j.irfa.2016.06.001

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