A multifractal approach for stock market inefficiency

L. Zunino, B. M. Tabak, A. Figliola, DARIO GABRIEL PEREZ , M. Garavaglia, O. A. Rosso

Research output: Contribution to journalArticlepeer-review

190 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)6558-6566
Number of pages9
JournalPhysica A: Statistical Mechanics and its Applications
Volume387
Issue number26
DOIs
StatePublished - 15 Nov 2008

Keywords

  • Multifractal detrended fluctuation analysis
  • Multifractality degree
  • Stock market inefficiency

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