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Article
Title:
The Impact of the 2008 and 2010 Financial Crises on the Hurst Exponents of International Stock Markets: Implications for Efficiency and Contagion
Authors:
Paulo Horta
(
CMVM
)
Sérgio Lagoa
(
ISCTE - Instituto Universitário de Lisboa
)
Luis Martins
(
ISCTE - Instituto Universitário de Lisboa
)
Journal:
International Review Of Financial Analysis
Year:
2014
Volume:
35
Pages:
140-153
JEL codes:
C58 - Financial Econometrics
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies
G15 - International Financial Markets
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