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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| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_14346028_v60_n1_p111_Zunino |
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todo:paper_14346028_v60_n1_p111_Zunino2023-10-03T16:14:32Z Inefficiency in Latin-American market indices Zunino, L. Tabak, B.M. Pérez, D.G. Garavaglia, M. Rosso, O.A. Hurst exponent Stock market indices Probability distributions Wavelet analysis Marketing 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. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_14346028_v60_n1_p111_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 |
Hurst exponent Stock market indices Probability distributions Wavelet analysis Marketing |
| spellingShingle |
Hurst exponent Stock market indices Probability distributions Wavelet analysis Marketing Zunino, L. Tabak, B.M. Pérez, D.G. Garavaglia, M. Rosso, O.A. Inefficiency in Latin-American market indices |
| topic_facet |
Hurst exponent Stock market indices Probability distributions Wavelet analysis Marketing |
| 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. © 2007 EDP Sciences/Società Italiana di Fisica/Springer-Verlag. |
| format |
JOUR |
| author |
Zunino, L. Tabak, B.M. Pérez, D.G. Garavaglia, M. Rosso, O.A. |
| author_facet |
Zunino, L. Tabak, B.M. Pérez, D.G. Garavaglia, M. Rosso, O.A. |
| author_sort |
Zunino, L. |
| 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 |
| url |
http://hdl.handle.net/20.500.12110/paper_14346028_v60_n1_p111_Zunino |
| work_keys_str_mv |
AT zuninol inefficiencyinlatinamericanmarketindices AT tabakbm inefficiencyinlatinamericanmarketindices AT perezdg inefficiencyinlatinamericanmarketindices AT garavagliam inefficiencyinlatinamericanmarketindices AT rossooa inefficiencyinlatinamericanmarketindices |
| _version_ |
1782025559177428992 |