Inefficiency in Latin-American market indices

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

Producción científica: Contribución a una revistaArtículorevisión exhaustiva

38 Citas (Scopus)

Resumen

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.

Idioma originalInglés
Páginas (desde-hasta)111-121
Número de páginas11
PublicaciónEuropean Physical Journal B
Volumen60
N.º1
DOI
EstadoPublicada - nov. 2007

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