Inefficiency in Latin-American market indices

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

Research output: Contribution to journalArticlepeer-review

31 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)111-121
Number of pages11
JournalEuropean Physical Journal B
Volume60
Issue number1
DOIs
StatePublished - 1 Nov 2007

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