TY - JOUR
T1 - Study of memory effects in international market indices
AU - Mariani, M. C.
AU - Florescu, I.
AU - Beccar Varela, M. P.
AU - Ncheuguim, E.
PY - 2010/4/15
Y1 - 2010/4/15
N2 - Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The financial time-series data of these indices are tested with the Normalized Truncated Levy Flight to check whether the evolution of these indices is explained by the TLF. Some features that seem to be specific for international indices are discovered and briefly discussed. In particular, a potential investor seems to be faced with new investment opportunities in emerging markets during and especially after a crisis.
AB - Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The financial time-series data of these indices are tested with the Normalized Truncated Levy Flight to check whether the evolution of these indices is explained by the TLF. Some features that seem to be specific for international indices are discovered and briefly discussed. In particular, a potential investor seems to be faced with new investment opportunities in emerging markets during and especially after a crisis.
KW - Detrended fluctuation analysis
KW - EAFE index
KW - International stock market indices
KW - R/S analysis
UR - http://www.scopus.com/inward/record.url?scp=75049083707&partnerID=8YFLogxK
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U2 - 10.1016/j.physa.2009.12.011
DO - 10.1016/j.physa.2009.12.011
M3 - Article
AN - SCOPUS:75049083707
SN - 0378-4371
VL - 389
SP - 1653
EP - 1664
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
IS - 8
ER -