Multifractal structure in Latin-American market indices
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 market...
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2009
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| Acceso en línea: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_09600779_v41_n5_p2331_Zunino http://hdl.handle.net/20.500.12110/paper_09600779_v41_n5_p2331_Zunino |
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paper:paper_09600779_v41_n5_p2331_Zunino2023-06-08T15:57:29Z Multifractal structure in Latin-American market indices Figliola, María Alejandra Developed countries Emerging markets Fat tails Long range correlations Multi fractals Multifractal detrended fluctuation analysis Multifractal structure Multifractality Stock market Commerce 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. © 2008 Elsevier Ltd. All rights reserved. Fil:Figliola, A. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. 2009 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_09600779_v41_n5_p2331_Zunino http://hdl.handle.net/20.500.12110/paper_09600779_v41_n5_p2331_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 |
Developed countries Emerging markets Fat tails Long range correlations Multi fractals Multifractal detrended fluctuation analysis Multifractal structure Multifractality Stock market Commerce |
| spellingShingle |
Developed countries Emerging markets Fat tails Long range correlations Multi fractals Multifractal detrended fluctuation analysis Multifractal structure Multifractality Stock market Commerce Figliola, María Alejandra Multifractal structure in Latin-American market indices |
| topic_facet |
Developed countries Emerging markets Fat tails Long range correlations Multi fractals Multifractal detrended fluctuation analysis Multifractal structure Multifractality Stock market Commerce |
| 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. © 2008 Elsevier Ltd. All rights reserved. |
| author |
Figliola, María Alejandra |
| author_facet |
Figliola, María Alejandra |
| author_sort |
Figliola, María Alejandra |
| title |
Multifractal structure in Latin-American market indices |
| title_short |
Multifractal structure in Latin-American market indices |
| title_full |
Multifractal structure in Latin-American market indices |
| title_fullStr |
Multifractal structure in Latin-American market indices |
| title_full_unstemmed |
Multifractal structure in Latin-American market indices |
| title_sort |
multifractal structure in latin-american market indices |
| publishDate |
2009 |
| url |
https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_09600779_v41_n5_p2331_Zunino http://hdl.handle.net/20.500.12110/paper_09600779_v41_n5_p2331_Zunino |
| work_keys_str_mv |
AT figliolamariaalejandra multifractalstructureinlatinamericanmarketindices |
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1768542325289517056 |