Aloui, Chaker; Hela, Ben hamida - In: Economics Bulletin 31 (2011) 1, pp. 830-843
In this paper, we test the weak-form stock market efficiency for the Tunisian stock market (TSE). Our empirical approach is founded on the analysis of the behaviour over time of the Hurst's exponent. Thus, we computed the Hurst's exponent using a “rolling sample†with a time window of...