Non-linear dependencies in African stock markets: Was subprime crisis an important factor?

The historical dependence in stock markets it is a very explored issue, especially in developed markets. In this paper we try to address the question of global dependency in African stock markets, and for that purpose we use a global approach able to capture the long-term dependencies being linear o...

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Bibliographic Details
Published in:Physica A 2018-09, Vol.505, p.680-687
Main Authors: Ferreira, Paulo, Dionísio, Andreia, Correia, José
Format: Article
Language:English
Subjects:
African stock markets
Hurst exponent
Long-term dependence
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Summary:The historical dependence in stock markets it is a very explored issue, especially in developed markets. In this paper we try to address the question of global dependency in African stock markets, and for that purpose we use a global approach able to capture the long-term dependencies being linear or non-linear ones. Are there significant differences in terms of results compared to the major international markets? Results point to an affirmative answer. The Hurst exponent shows that long-term dependence is probably linked not only to size or liquidity. •It is applied the DFA to analyse the behaviour of 12 African stock indices.•The results point to the existence of statistically significant serial dependence.•Dependence is higher in African stock markets, when compared with other indices.
ISSN:0378-4371
1873-2119
DOI:10.1016/j.physa.2018.03.060