TY - JOUR
T1 - Multifractal structure in Latin-American market indices
AU - Zunino, Luciano
AU - Figliola, Alejandra
AU - Tabak, Benjamin M.
AU - Pérez, Darío G.
AU - Garavaglia, Mario
AU - Rosso, Osvaldo A.
N1 - Funding Information:
Luciano Zunino was supported by Consejo Nacional de Investigaciones Cientı´ficas y Técnicas (CONICET), Argentina. Alejandra Figliola gratefully acknowledges support from Universidad Nacional de General Sarmiento (UNGS) and Consejo Nacional de Investigaciones Cientı´ficas 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. 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.
PY - 2009/9/15
Y1 - 2009/9/15
N2 - We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging markets. Moreover, we propose a stock market inefficiency ranking by considering the multifractality degree as a measure of inefficiency. Finally, we analyze the sources of multifractality quantifying the contributions of two factors, the long-range correlations of the time series and the broad fat-tail distributions. We find that the multifractal structure of Latin-American market indices can be mainly attributed to the latter.
AB - We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging markets. Moreover, we propose a stock market inefficiency ranking by considering the multifractality degree as a measure of inefficiency. Finally, we analyze the sources of multifractality quantifying the contributions of two factors, the long-range correlations of the time series and the broad fat-tail distributions. We find that the multifractal structure of Latin-American market indices can be mainly attributed to the latter.
UR - http://www.scopus.com/inward/record.url?scp=67649380853&partnerID=8YFLogxK
U2 - 10.1016/j.chaos.2008.09.013
DO - 10.1016/j.chaos.2008.09.013
M3 - Article
AN - SCOPUS:67649380853
SN - 0960-0779
VL - 41
SP - 2331
EP - 2340
JO - Chaos, Solitons and Fractals
JF - Chaos, Solitons and Fractals
IS - 5
ER -