It is well known that the stock market is a sensitive and complex system that can be influenced by a multitude of political and economic factors, but how is the efficiency of stock price returns impacted when a company internationalizes the fund-raising through debt issue or cross-listing? The financial literature suggests that there is an increase in price efficiency after internationalization; it happens because more investors participate in the negotiation and as the asset gains more attention from investors, there is a greater information transparency about the company both in domestic and foreign markets. Even though most studies have described a number of benefits of internationalization in developed markets, no consensus has been reached on their effects on emerging markets. One of the difficulties is that depending on the analyzed time period, there will be great speculation, bringing noise to the analysis and also to the difficulty of finding an ideal model to measure the long-term correlations in the price of the assets. In order to have a series of prices that represents an efficient market, it is necessary to make sure that the behavior of the prices is linearly independent and with serial correlation equal to zero, so that it can be suggested that no investor can obtain abnormal returns through the analysis of prices. Within this rationale, this paper will use the MFDFA (Multifractal Detrended Fluctuation Analysis) method to measure long-range correlations. This research will contribute to international finance literature, particularly by measuring the efficiency of stock prices in an emerging market. Moreover, this study also contributes to analyzing the effect of internationalization of financial instruments in the domestic and foreign markets.
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