Market efficiency of Baltic stock markets: A fractional integration approach
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DOI: 10.1016/j.physa.2018.07.029
Abstract: We investigate financial market efficiency in the time series of four daily Baltic stock market indices namely Baltic Benchmark Gross Index (OMXBBGI), all share index of Tallin-Lithuanian (OMXT), all share index of Riga (OMXR) and… read more here.
Keywords: baltic stock; fractional integration; market; market efficiency ... See more keywords