A multifractal approach for stock market inefficiency

L. Zunino, B. M. Tabak, A. Figliola, D. G. Pérez, M. Garavaglia, O. A. Rosso

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

225 Citas (Scopus)

Resumen

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.

Idioma originalInglés
Páginas (desde-hasta)6558-6566
Número de páginas9
PublicaciónPhysica A: Statistical Mechanics and its Applications
Volumen387
N.º26
DOI
EstadoPublicada - 15 nov. 2008
Publicado de forma externa

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