Multifractal structure in Latin-American market indices

Title: Multifractal structure in Latin-American market indices
Creator: Zunino, Luciano; Figliola, Alejandra; Tabak, Benjamin M.; Pérez, Darío G.; Garavaglia, Mario; Rosso, Osvaldo A.
Relation: Chaos, Solitons and Fractals Vol. 41, Issue 5, p. 2331-2340
Publisher Link: http://dx.doi.org/10.1016/j.chaos.2008.09.013
Publisher: Elsevier
Resource Type: journal article
Date: 2009
Description: 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.
Subject: multifractality degrees; Latin-America; stock markets; fluctuations
Identifier: uon:7785
Identifier: http://hdl.handle.net/1959.13/808919
Identifier: ISSN:0960-0779
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