Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/33275
- Title
- Inefficiency in Latin-American market indices
- Author/Creator
-
Zunino, L.;
Tabak, B. M.;
Perez, D. G.;
Garavaglia, M.;
Rosso, O. A.
- Institution
- The University of Newcastle. Faculty of Engineering & Built Environment, School of Electrical Engineering and Computer Science
- Description
- We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the stock market indices under analysis. On the other hand, the Tsallis q entropic index is measured in order to take into account the deviations from the Gaussian hypothesis. Different dynamic rankings of inefficieny are obtained, each of them contemplates a different source of inefficiency. Comparing with the results obtained for a developed country (US), we confirm a similar degree of long-range dependence for our emerging markets. Moreover, we show that the inefficiency in the Latin-American countries comes principally from the non-Gaussian form of the probability distributions.
- Relation
- European Physical Journal B Vol. 60, Issue 1, p. 111-121
- Publisher Link
- http://dx.doi.org/10.1140/epjb/e2007-00316-y
- Date
- 2007
- Publisher
- EDP Sciences
- Keyword(s)
-
Latin-America;
market indices;
Hurst exponent;
Tsallis q entropic index;
inefficiency
- Resource Type
- journal article
- Identifier
- http://hdl.handle.net/1959.13/33275
- Identifier
- ISSN:1434-6036
- Reviewed
- Full Text
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