Inefficiency in Latin-American market indices
We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the stoc...
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2007
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| Acceso en línea: | Registro en Scopus DOI Handle Registro en la Biblioteca Digital |
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| LEADER | 07042caa a22009737a 4500 | ||
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| 001 | PAPER-22571 | ||
| 003 | AR-BaUEN | ||
| 005 | 20250403083909.0 | ||
| 008 | 190411s2007 xx ||||fo|||| 00| 0 eng|d | ||
| 024 | 7 | |2 scopus |a 2-s2.0-37449010801 | |
| 040 | |a Scopus |b spa |c AR-BaUEN |d AR-BaUEN | ||
| 100 | 1 | |a Zunino, L. | |
| 245 | 1 | 0 | |a Inefficiency in Latin-American market indices |
| 260 | |c 2007 | ||
| 270 | 1 | 0 | |m Zunino, L.; Centro de Investigaciones Ópticas, C.C. 124 Correo Central, 1900 La Plata, Argentina; email: lucianoz@ciop.unlp.edu.ar |
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| 506 | |2 openaire |e Política editorial | ||
| 520 | 3 | |a We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the stock market indices under analysis. On the other hand, the Tsallis q entropic index is measured in order to take into account the deviations from the Gaussian hypothesis. Different dynamic rankings of inefficieny are obtained, each of them contemplates a different source of inefficiency. Comparing with the results obtained for a developed country (US), we confirm a similar degree of long-range dependence for our emerging markets. Moreover, we show that the inefficiency in the Latin-American countries comes principally from the non-Gaussian form of the probability distributions. © 2007 EDP Sciences/Società Italiana di Fisica/Springer-Verlag. |l eng | |
| 593 | |a Centro de Investigaciones Ópticas, C.C. 124 Correo Central, 1900 La Plata, Argentina | ||
| 593 | |a Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de la Plata (UNLP), 1900 La Plata, Argentina | ||
| 593 | |a Departamento de Física, Facultad de Ciencias Exactas, Universidad Nacional de la Plata, 1900 La Plata, Argentina | ||
| 593 | |a Banco Central do Brasil, SBS Quadra, 3, Bloco B, 9 andar, DF 70074-900, Brazil | ||
| 593 | |a Instituto de Física, Pontificia Universidad Católica de Valparaíso (PUCV), 23-40025 Valparaíso, Chile | ||
| 593 | |a Chaos and Biology Group, Instituto de Cálculo, Ciudad Universitaria, 1428 Ciudad de Buenos Aires, Argentina | ||
| 593 | |a Centre for Bioinformatics, Biomarker Discovery and Information-Based Medicine, School of Electrical Engineering and Computer Science, University of Newcastle, University Drive, Callaghan, NSW 2308, Australia | ||
| 690 | 1 | 0 | |a HURST EXPONENT |
| 690 | 1 | 0 | |a STOCK MARKET INDICES |
| 690 | 1 | 0 | |a PROBABILITY DISTRIBUTIONS |
| 690 | 1 | 0 | |a WAVELET ANALYSIS |
| 690 | 1 | 0 | |a MARKETING |
| 700 | 1 | |a Tabak, B.M. | |
| 700 | 1 | |a Pérez, D.G. | |
| 700 | 1 | |a Garavaglia, Mario José | |
| 700 | 1 | |a Rosso, O.A. | |
| 773 | 0 | |d 2007 |g v. 60 |h pp. 111-121 |k n. 1 |p Eur. Phys. J. B |x 14346028 |w (AR-BaUEN)CENRE-4694 |t European Physical Journal B | |
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| 856 | 4 | 0 | |u https://doi.org/10.1140/epjb/e2007-00316-y |y DOI |
| 856 | 4 | 0 | |u https://hdl.handle.net/20.500.12110/paper_14346028_v60_n1_p111_Zunino |y Handle |
| 856 | 4 | 0 | |u https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_14346028_v60_n1_p111_Zunino |y Registro en la Biblioteca Digital |
| 961 | |a paper_14346028_v60_n1_p111_Zunino |b paper |c PE | ||
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| 999 | |c 83524 | ||