CMStatistics 2017: Start Registration
View Submission - CFE
A1615
Title: Frontier markets efficiency: Mutual information and DFA analyses Authors:  Andreia Dionisio - University of Evora (Portugal) [presenting]
Wahbeeah Mohti - Universidade de Evora (Portugal)
Isabel Vieira - Universidade de Evora (Portugal)
Abstract: The weak form efficiency in frontier markets is investigated. We analyze stock market indexes of 23 countries and use mutual information and detrended fluctuation analysis (DFA) to examine serial dependence and non linear dependence in the series. The results from the former approach indicate the existence of non-linearity in the return series. Results obtained with DFA suggest that the return of several frontier markets including Sri Lanka, Bulgaria, Serbia, Estonia, Mauritius and Kazakhstan have more pronounced long-term dependence and exhibit persistent behavior. The series of some frontier markets including Argentina, Lebanon, Bahrain, Tunisia, Bangladesh and Vietnam, display long-term dependence with anti-persistent behavior. The obtained results indicate that the assessed frontier markets are weak form inefficient.