- Title
- A multifractal approach for stock market inefficiency
- Creator
- Zunino, L.; Tabak, B. M.; Figliola, A.; Perez, D. G.; Garavaglia, M.; Rosso, O. A.
- 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
- Publisher
- Elsevier
- Resource Type
- journal article
- Date
- 2008
- 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.
- Subject
- multifractal detrended fluctuation analysis; multifractality degree; stock market inefficiency
- Identifier
- uon:5564
- Identifier
- http://hdl.handle.net/1959.13/43451
- Identifier
- ISSN:0378-4371
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