Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions

Daniel Cajueiro and Benjamin Tabak

Physica A: Statistical Mechanics and its Applications, 2004, vol. 342, issue 3, 656-664

Abstract: In this paper, the efficient market hypothesis is tested for China, Hong Kong and Singapore by means of the long memory dependence approach. We find evidence suggesting that Hong Kong is the most efficient market followed by Chinese A type shares and Singapore and finally by Chinese B type shares, which suggests that liquidity and capital restrictions may play a role in explaining results of market efficiency tests.

Keywords: Long-range dependence; Asia; Time varying Hurst's exponent (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (93)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:342:y:2004:i:3:p:656-664

DOI: 10.1016/j.physa.2004.05.034

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