Autori
Nadarajah, SaraleesOkorie, Idika E.Titolo
On nonlinear dependencies in African stock marketsPeriodico
Economic notesAnno:
2020 - Volume:
49 - Fascicolo:
1 - Pagina iniziale:
12137 - Pagina finale:
12137Ferreira, Dionisio, and Correia (2018. Physica A: Statistical Mechanics and Its Applications. 505, 680–687) showed that African stock markets at different time frames (before the Lehman Brothers financial crisis, during the crisis, and after the crisis) do not satisfy the efficient market hypothesis. Here, we provide evidence by means of six different nonparametric tests, and the fit of GARCH(1, 1), TGARCH(1, 1) and EGARCH(1, 1) models accounting for day of the week and month of the year effects that the majority of African stock markets do comply with the efficient market hypothesis
SICI: 0391-5026(2020)49:1<12137:ONDIAS>2.0.ZU;2-9
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