Inefficiency in Latin-American market indices
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 stoc...
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| Autores principales: | , , , , |
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| Formato: | JOUR |
| Materias: | |
| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_14346028_v60_n1_p111_Zunino |
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| Sumario: | 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. © 2007 EDP Sciences/Società Italiana di Fisica/Springer-Verlag. |
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