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Frontier markets’ efficiency: mutual information and detrended fluctuation analyses

  • Wahbeeah Mohti
  • Andreia Dionísio
  • Paulo Ferreira
  • Isabel Vieira
Regular Article
  • 24 Downloads

Abstract

This study tests weak form efficiency in frontier markets. Mutual information and detrended fluctuation analyses are performed to assess global correlation and long range dependence in the stock markets of twenty three countries. The results indicate that Slovenia is the only case where there is evidence compatible with weak form efficiency. The relatively less inefficient markets are mainly located in Europe and America, and the relatively more inefficient mainly in the Middle East. This information is useful for investors, but also for the assessed countries’ regulators as they indicate that relevant impediments are preventing the exploitation of potential profitable opportunities.

Keywords

Mutual information analysis Detrended fluctuation analysis Non-linear dependence Weak form efficient Frontier markets 

Notes

Acknowledgements

Wahbeeah Mohti is pleased to acknowledge the financial support from Erasmus Mundus Scholarship (Fusion Project). Andreia Dionísio, Isabel Vieira and Paulo Ferreira gratefully acknowledge the financial support from Fundação para a Ciencia e a Tecnologia (Grant UID/ECO/04007/2013) and FEDER/COMPETE (Grant No. POCI-01-0145-FEDER-007659).

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Departamento de GestãoUniversidade de ÉvoraÉvoraPortugal
  2. 2.CEFAGE-UE, IIFAUniversidade de ÉvoraÉvoraPortugal
  3. 3.Instituto Politécnico de Portalegre, Escola Superior Agrária de ElvasElvasPortugal

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