Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/808919
- Multifractal structure in Latin-American market indices
Tabak, Benjamin M.;
Pérez, Darío G.;
Rosso, Osvaldo A.
- The University of Newcastle. Faculty of Engineering & Built Environment, School of Electrical Engineering and Computer Science
- We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging markets. Moreover, we propose a stock market inefficiency ranking by considering the multifractality degree as a measure of inefficiency. Finally, we analyze the sources of multifractality quantifying the contributions of two factors, the long-range correlations of the time series and the broad fat-tail distributions. We find that the multifractal structure of Latin-American market indices can be mainly attributed to the latter.
- Chaos, Solitons and Fractals Vol. 41, Issue 5, p. 2331-2340
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