Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/43451

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Title
A multifractal approach for stock market inefficiency
Author/Creator
Zunino, L.;  Tabak, B. M.;  Figliola, A.;  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
In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model to test the relationship between the stage of market development and the multifractality degree and find robust evidence that the relationship is negative, i.e., higher multifractality is associated with a less developed market. Thus, an inefficiency ranking can be derived from multifractal analysis. Finally, a link with previous volatility time series results is established.
Relation
Physica A: Statistical Mechanics and Its Applications Vol. 387, Issue 26, p. 6558-6566
Publisher Link
http://dx.doi.org/10.1016/j.physa.2008.08.028
Date
2008
Publisher
Elsevier
Keyword(s)
multifractal detrended fluctuation analysis;  multifractality degree;  stock market inefficiency
Resource Type
journal article
Identifier
http://hdl.handle.net/1959.13/43451
Identifier
ISSN:0378-4371
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Subject
"Physica A: Statistical Mechanics and Its Applications"
 
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