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Applied Economics Letters Volume 13, 2006 - Issue 2
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Original Articles

The long-range dependence phenomena in asset returns: the Chinese case

Daniel O. Cajueiro Universidade Católica de Brasília – Mestrado em Economia de Empresas, SGAN 916, Módulo B – Asa Norte, DF 70790-160, Brazil
&
Benjamin M. Tabak Universidade Católica de Brasília – Mestrado em Economia de Empresas, SGAN 916, Módulo B – Asa Norte, DF 70790-160, Brazil; Banco Central do Brasil, SBS Quadra 3, Bloco B, 9 andar, DF 70074-900, BrazilCorrespondence[email protected]
Pages 131-133 | Published online: 02 Jun 2010

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Gourishankar S. Hiremath & Jyoti Kumari. (2015) Is There Long Memory in Indian Stock Market Returns? An Empirical Search. Journal of Asia-Pacific Business 16:2, pages 128-145.
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JonathanA. Batten, PeterG. Szilagyi & MichaelC. S. Wong. (2014) Stock Market Spread Trading: Argentina and Brazil Stock Indexes. Emerging Markets Finance and Trade 50:sup3, pages 61-76.
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Articles from other publishers (13)

Zuochao Zhang, Yongjie Zhang, Dehua Shen & Wei Zhang. (2018) The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns. Complexity 2018, pages 1-11.
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Aurelio F. Bariviera. (2017) The inefficiency of Bitcoin revisited: A dynamic approach. Economics Letters 161, pages 1-4.
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Aurelio Fernández Bariviera, María Belén Guercio, Lisana B. Martinez & Osvaldo A. Rosso. (2015) A permutation information theory tour through different interest rate maturities: the Libor case. Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences 373:2056, pages 20150119.
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Spilios Tzouras, Christoforos Anagnostopoulos & Emma McCoy. (2015) Financial time series modeling using the Hurst exponent. Physica A: Statistical Mechanics and its Applications 425, pages 50-68.
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Panagiotis Anagnostidis & Christos J. Emmanouilides. (2015) Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange. Physica A: Statistical Mechanics and its Applications 421, pages 473-487.
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Gourishankar S. HiremathGourishankar S. Hiremath. 2014. Indian Stock Market. Indian Stock Market 85 98 .
A. Sensoy. (2013) Time-varying long range dependence in market returns of FEAS members. Chaos, Solitons & Fractals 53, pages 39-45.
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Pei P. Tan, Don U.A. Galagedera & Elizabeth A. Maharaj. (2012) A wavelet based investigation of long memory in stock returns. Physica A: Statistical Mechanics and its Applications 391:7, pages 2330-2341.
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Aurelio Fernández Bariviera. (2011) The influence of liquidity on informational efficiency: The case of the Thai Stock Market. Physica A: Statistical Mechanics and its Applications 390:23-24, pages 4426-4432.
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Haiqiang Chen, Terence Tai-Leung Chong & Zimu Li. (2011) Are Chinese Stock Market Cycles Duration Independent?. Financial Review 46:1, pages 151-164.
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Jui-Cheng Hung. (2009) Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency. The Quarterly Review of Economics and Finance 49:3, pages 843-857.
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Suzanne G.M. Fifield & Juliana Jetty. (2008) Further evidence on the efficiency of the Chinese stock markets: A note. Research in International Business and Finance 22:3, pages 351-361.
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Juliana Jetty & Suzanne G.M. Fifield. (2006) Further Evidence on the Efficiency of the Chinese Stock Markets. SSRN Electronic Journal.
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