Non-linear dependencies in African stock markets: Was subprime crisis an important factor?
Paulo Ferreira (),
Andreia Dionísio and
Physica A: Statistical Mechanics and its Applications, 2018, vol. 505, issue C, 680-687
The historical dependence in stock markets it is a very explored issue, especially in developed markets. In this paper we try to address the question of global dependency in African stock markets, and for that purpose we use a global approach able to capture the long-term dependencies being linear or non-linear ones. Are there significant differences in terms of results compared to the major international markets? Results point to an affirmative answer. The Hurst exponent shows that long-term dependence is probably linked not only to size or liquidity.
Keywords: African stock markets; Long-term dependence; Hurst exponent (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:505:y:2018:i:c:p:680-687
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