A multifractal approach for stock market inefficiency

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 t...

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Detalles Bibliográficos
Autor principal:	Figliola, María Alejandra
Publicado:	2008
Materias:	Multifractal detrended fluctuation analysis Multifractality degree Stock market inefficiency Commerce Inventory control Time series analysis Empirical results Market developments Multi fractals Multifractal Analysis Multifractality Stock indices Stock markets Time-series Marketing
Acceso en línea:	https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03784371_v387_n26_p6558_Zunino http://hdl.handle.net/20.500.12110/paper_03784371_v387_n26_p6558_Zunino
Aporte de:	Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

id	paper:paper_03784371_v387_n26_p6558_Zunino
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spelling	paper:paper_03784371_v387_n26_p6558_Zunino2023-06-08T15:40:10Z A multifractal approach for stock market inefficiency Figliola, María Alejandra Multifractal detrended fluctuation analysis Multifractality degree Stock market inefficiency Commerce Inventory control Time series analysis Empirical results Market developments Multi fractals Multifractal Analysis Multifractal detrended fluctuation analysis Multifractality Multifractality degree Stock indices Stock market inefficiency Stock markets Time-series Marketing 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. © 2008 Elsevier B.V. All rights reserved. Fil:Figliola, A. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. 2008 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03784371_v387_n26_p6558_Zunino http://hdl.handle.net/20.500.12110/paper_03784371_v387_n26_p6558_Zunino
institution	Universidad de Buenos Aires
institution_str	I-28
repository_str	R-134
collection	Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic	Multifractal detrended fluctuation analysis Multifractality degree Stock market inefficiency Commerce Inventory control Time series analysis Empirical results Market developments Multi fractals Multifractal Analysis Multifractal detrended fluctuation analysis Multifractality Multifractality degree Stock indices Stock market inefficiency Stock markets Time-series Marketing
spellingShingle	Multifractal detrended fluctuation analysis Multifractality degree Stock market inefficiency Commerce Inventory control Time series analysis Empirical results Market developments Multi fractals Multifractal Analysis Multifractal detrended fluctuation analysis Multifractality Multifractality degree Stock indices Stock market inefficiency Stock markets Time-series Marketing Figliola, María Alejandra A multifractal approach for stock market inefficiency
topic_facet	Multifractal detrended fluctuation analysis Multifractality degree Stock market inefficiency Commerce Inventory control Time series analysis Empirical results Market developments Multi fractals Multifractal Analysis Multifractal detrended fluctuation analysis Multifractality Multifractality degree Stock indices Stock market inefficiency Stock markets Time-series Marketing
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. © 2008 Elsevier B.V. All rights reserved.
author	Figliola, María Alejandra
author_facet	Figliola, María Alejandra
author_sort	Figliola, María Alejandra
title	A multifractal approach for stock market inefficiency
title_short	A multifractal approach for stock market inefficiency
title_full	A multifractal approach for stock market inefficiency
title_fullStr	A multifractal approach for stock market inefficiency
title_full_unstemmed	A multifractal approach for stock market inefficiency
title_sort	multifractal approach for stock market inefficiency
publishDate	2008
url	https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03784371_v387_n26_p6558_Zunino http://hdl.handle.net/20.500.12110/paper_03784371_v387_n26_p6558_Zunino
work_keys_str_mv	AT figliolamariaalejandra amultifractalapproachforstockmarketinefficiency AT figliolamariaalejandra multifractalapproachforstockmarketinefficiency
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A multifractal approach for stock market inefficiency

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