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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Autores principales: Zunino, Luciano José, Tabak, Benjamin Miranda, Pérez, Darío G., Garavaglia, Mario José, Rosso, Osvaldo A.
Formato: Articulo Preprint
Lenguaje:Inglés
Publicado: 2007
Materias:
Economía
Matemática
Emerging markets
Econometrics
Time series
Financial market
Inefficiency
Econophysics
Mathematics
Stock market index
Volatility (finance)
Hurst exponent
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/127235
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-127235
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Economía
Matemática
Emerging markets
Econometrics
Time series
Financial market
Inefficiency
Econophysics
Mathematics
Stock market index
Volatility (finance)
Hurst exponent
spellingShingle Economía
Matemática
Emerging markets
Econometrics
Time series
Financial market
Inefficiency
Econophysics
Mathematics
Stock market index
Volatility (finance)
Hurst exponent
Zunino, Luciano José
Tabak, Benjamin Miranda
Pérez, Darío G.
Garavaglia, Mario José
Rosso, Osvaldo A.
Inefficiency in Latin-American market indices
topic_facet Economía
Matemática
Emerging markets
Econometrics
Time series
Financial market
Inefficiency
Econophysics
Mathematics
Stock market index
Volatility (finance)
Hurst exponent
description 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.
format Articulo
Preprint
author Zunino, Luciano José
Tabak, Benjamin Miranda
Pérez, Darío G.
Garavaglia, Mario José
Rosso, Osvaldo A.
author_facet Zunino, Luciano José
Tabak, Benjamin Miranda
Pérez, Darío G.
Garavaglia, Mario José
Rosso, Osvaldo A.
author_sort Zunino, Luciano José
title Inefficiency in Latin-American market indices
title_short Inefficiency in Latin-American market indices
title_full Inefficiency in Latin-American market indices
title_fullStr Inefficiency in Latin-American market indices
title_full_unstemmed Inefficiency in Latin-American market indices
title_sort inefficiency in latin-american market indices
publishDate 2007
url http://sedici.unlp.edu.ar/handle/10915/127235
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AT perezdariog inefficiencyinlatinamericanmarketindices
AT garavagliamariojose inefficiencyinlatinamericanmarketindices
AT rossoosvaldoa inefficiencyinlatinamericanmarketindices
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