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- W2335539006 abstract "The analysis of capital markets efficiency has attracted a considerable number of studies in empirical finance, but conflicting and inconclusive outcomes have been generated. The aim of this paper is to find any evidence that the selected emergent capital markets (eight emergent European and BRIC markets, namely Hungary, Romania, Estonia, Czech Republic, Brazil, Russia, India and China) abide by a particular evolution pattern (long range dependence) or the random walk hypothesis. In view of attaining the goal of the paper, we employed a methodology based on the interdisciplinary approach to the subject matter under investigation and applied the deterministic chaos and fractal theory. In this paper, the Hurst exponent calculated by the rescaled-range analysis is our measure of long range dependence in the series. We use a “rolling sample” approach to evaluate the Hurst exponent. The results suggest that this fractal exponent may be useful in assessing the stage of stock market inefficiency." @default.
- W2335539006 created "2016-06-24" @default.
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- W2335539006 date "2013-11-25" @default.
- W2335539006 modified "2023-10-16" @default.
- W2335539006 title "Applications of Chaos and Fractal Theory on Emerging Capital Markets" @default.
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- W2335539006 doi "https://doi.org/10.6007/ijarbss/v3-i11/398" @default.
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