Multifractal structure in Latin-American market indices

Luciano Zunino, Alejandra Figliola, Benjamin M. Tabak, Darío G. Pérez, Mario Garavaglia, Osvaldo A. Rosso

Producción científica: Contribución a una revistaArtículorevisión exhaustiva

78 Citas (Scopus)

Resumen

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.

Idioma originalInglés
Páginas (desde-hasta)2331-2340
Número de páginas10
PublicaciónChaos, Solitons and Fractals
Volumen41
N.º5
DOI
EstadoPublicada - 15 sep. 2009

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