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Comparative analysis of mature and emerging markets\' stock market indices using Hurst exponents

Author

Listed:
  • Agnieszka Kapecka

    (Warsaw School of Economics)

Abstract

Presented paper contains the results of the research on the comparative analysis of presence of long memory dependencies in logarithmic returns of stock market indices of mature and emerging markets. The main goal of the research was to verify the dependency between the value of Hurst exponent, the type of the market and economic factors. In order to achieve this, rescaled range analysis method was used.

Suggested Citation

  • Agnieszka Kapecka, 2015. "Comparative analysis of mature and emerging markets\' stock market indices using Hurst exponents," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 46(1), pages 59-75.
    • Handle: RePEc:cpn:umkanc:2015:p:59-75
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    More about this item

    Keywords

    Hurst exponent; rescaled range analysis; R/S analysis; mature markets; emerging markets;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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