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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/33275
- Inefficiency in Latin-American market indices
Tabak, B. M.;
Perez, D. G.;
Rosso, O. A.
- The University of Newcastle. Faculty of Engineering & Built Environment, School of Electrical Engineering and Computer Science
- 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.
- European Physical Journal B Vol. 60, Issue 1, p. 111-121
- Publisher Link
- EDP Sciences
Tsallis q entropic index;
- Resource Type
- journal article
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