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Details for article 174 of 190 found articles
| Title: |
The long-range dependence phenomena in asset returns: the Chinese case |
| Author: |
Cajueiro, Daniel O. Tabak, Benjamin M. |
| Appeared in: |
Applied economics letters |
| Paging: | Volume 13 (2006) nr. 2 pages 131-133 |
| Year: |
2006-02-10 |
| Contents: |
This paper studies the segmented structure of the Chinese stock market, which is a unique opportunity to investigate the possible sources of the long-range dependence phenomena in asset returns. Using the Hurst's exponent evaluated by the Local Whittle method as the measure of long-range dependence, evidence is found supporting that while type B shares present strong evidence of the long-range dependence phenomena, type A shares present only weak evidence of such dependence. This result suggests that liquidity and information transmission play a role in explaining results of market efficiency tests. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 174 of 190 found articles
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