An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets

Walid Mensi, Aviral Tiwari and Khamis Hamed Al-Yahyaee

The Quarterly Review of Economics and Finance, 2019, vol. 72, issue C, 168-177

Abstract: This study investigates the time varying efficiency of five European GIPSI stock markets, compared to global and regional U.S. markets. Using the MF-DFA approach, we show evidence of long memory in both short and long term for all markets. Furthermore, the long memory is more pronounced in the long term than in the short term. Finally, Greece is the highest inefficient market, whatever is the time horizons, while Portugal and Ireland markets are the least inefficient in the short and long term, respectively. Global and regional stock markets are less efficient than GIPSI (except Greece) markets in the short term.

Keywords: Stock markets; Multifractality; Long memory; Efficiency; MF-DFA; Hurst exponent (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:72:y:2019:i:c:p:168-177

DOI: 10.1016/j.qref.2018.12.001

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