Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/43451
- A multifractal approach for stock market inefficiency
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
- 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.
- Physica A: Statistical Mechanics and Its Applications Vol. 387, Issue 26, p. 6558-6566
- Publisher Link
multifractal detrended fluctuation analysis;
stock market inefficiency
- Resource Type
- journal article