Generalized Hurst exponent approach to efficiency in MENA markets

Ahmet Sensoy

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 20, 5019-5026

Abstract: We study the time-varying efficiency of 15 Middle East and North African (MENA) stock markets by generalized Hurst exponent analysis of daily data with a rolling window technique. The study covers a time period of six years from January 2007 to December 2012. The results reveal that all MENA stock markets exhibit different degrees of long-range dependence varying over time and that the Arab Spring has had a negative effect on market efficiency in the region. The least inefficient market is found to be Turkey, followed by Israel, while the most inefficient markets are Iran, Tunisia, and UAE. Turkey and Israel show characteristics of developed financial markets. Reasons and implications are discussed.

Keywords: MENA; Generalized Hurst exponent; Rolling window; Market efficiency (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (36)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:20:p:5019-5026

DOI: 10.1016/j.physa.2013.06.041

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