DC Field | Value | Language |
---|---|---|
dc.contributor.author | Oh, G | - |
dc.contributor.author | Kim, S | - |
dc.contributor.author | Eom, C | - |
dc.date.accessioned | 2016-04-01T01:36:04Z | - |
dc.date.available | 2016-04-01T01:36:04Z | - |
dc.date.created | 2009-02-28 | - |
dc.date.issued | 2007-08-01 | - |
dc.identifier.issn | 0378-4371 | - |
dc.identifier.other | 2007-OAK-0000006997 | - |
dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/23295 | - |
dc.description.abstract | We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during two periods from 1984 to 1998 and from 1999 to 2004 in order to Study the efficiency of various foreign exchange markets around the market crisis. We found that on average, the ApEn values for European and North American foreign exchange markets are larger than those for African and Asian ones except Japan. We also found that the ApEn for Asian markets increased significantly after the Asian currency crisis. Our results suggest that the markets with a larger liquidity such as European and North American foreign exchange markets have a higher market efficiency than those with a smaller liquidity such as the African and Asian markets except Japan. (C) 2007 Elsevier B.V. All rights reserved. | - |
dc.description.statementofresponsibility | X | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.relation.isPartOf | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.subject | approximate entropy(ApEn) | - |
dc.subject | market efficiency | - |
dc.subject | degree of randomness | - |
dc.subject | IRREGULARITY | - |
dc.subject | DEPENDENCE | - |
dc.subject | TIME | - |
dc.title | Market efficiency in foreign exchange markets | - |
dc.type | Article | - |
dc.contributor.college | 물리학과 | - |
dc.identifier.doi | 10.1016/J.PHYSA.2007.02.032 | - |
dc.author.google | Oh, G | - |
dc.author.google | Kim, S | - |
dc.author.google | Eom, C | - |
dc.relation.volume | 382 | - |
dc.relation.issue | 1 | - |
dc.relation.startpage | 209 | - |
dc.relation.lastpage | 212 | - |
dc.contributor.id | 10054190 | - |
dc.relation.journal | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.relation.index | SCI급, SCOPUS 등재논문 | - |
dc.relation.sci | SCI | - |
dc.collections.name | Conference Papers | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.382, no.1, pp.209 - 212 | - |
dc.identifier.wosid | 000247993000026 | - |
dc.date.tcdate | 2019-01-01 | - |
dc.citation.endPage | 212 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 209 | - |
dc.citation.title | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.citation.volume | 382 | - |
dc.contributor.affiliatedAuthor | Kim, S | - |
dc.identifier.scopusid | 2-s2.0-34249821893 | - |
dc.description.journalClass | 1 | - |
dc.description.journalClass | 1 | - |
dc.description.wostc | 46 | - |
dc.description.scptc | 58 | * |
dc.date.scptcdate | 2018-05-121 | * |
dc.type.docType | Article; Proceedings Paper | - |
dc.subject.keywordAuthor | approximate entropy(ApEn) | - |
dc.subject.keywordAuthor | market efficiency | - |
dc.subject.keywordAuthor | degree of randomness | - |
dc.relation.journalWebOfScienceCategory | Physics, Multidisciplinary | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Physics | - |
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