TY - JOUR
T1 - A multifractal approach for stock market inefficiency
AU - Zunino, L.
AU - Tabak, B. M.
AU - Figliola, A.
AU - Pérez, D. G.
AU - Garavaglia, M.
AU - Rosso, O. A.
N1 - Funding Information:
Luciano Zunino was supported by Consejo Nacional de Investigaciones Científicas y Técnicas (CONICET), Argentina. Benjamin M. Tabak gratefully acknowledges financial support from CNPq foundation. The opinions expressed in the paper do not necessarily reflect those of the Banco Central do Brasil. Alejandra Figliola gratefully acknowledges support from Universidad Nacional de General Sarmiento (UNGS) and Consejo Nacional de Investigaciones Científicas y Técnicas (CONICET), Argentina. Darío G. Pérez was supported by Comisión Nacional de Investigación Científica y Tecnológica (CONICYT, FONDECYT project No. 11060512), Chile, and partially by Pontificia Universidad Católica de Valparaíso (PUCV, Project No. 123. 788/2007), Chile. Osvaldo A. Rosso gratefully acknowledges support from Australian Research Council (ARC) Centre of Excellence in Bioinformatics, Australia. The authors are very grateful to the reviewers, whose comments and suggestions helped to improve an earlier version of this paper.
PY - 2008/11/15
Y1 - 2008/11/15
N2 - 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.
AB - 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.
KW - Multifractal detrended fluctuation analysis
KW - Multifractality degree
KW - Stock market inefficiency
UR - http://www.scopus.com/inward/record.url?scp=52949093895&partnerID=8YFLogxK
U2 - 10.1016/j.physa.2008.08.028
DO - 10.1016/j.physa.2008.08.028
M3 - Article
AN - SCOPUS:52949093895
SN - 0378-4371
VL - 387
SP - 6558
EP - 6566
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
IS - 26
ER -