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: | Articulo Preprint |
Lenguaje: | Inglés |
Publicado: |
2007
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Acceso en línea: | http://sedici.unlp.edu.ar/handle/10915/127235 |
Aporte de: |
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I19-R120-10915-127235 |
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record_format |
dspace |
institution |
Universidad Nacional de La Plata |
institution_str |
I-19 |
repository_str |
R-120 |
collection |
SEDICI (UNLP) |
language |
Inglés |
topic |
Economía Matemática Emerging markets Econometrics Time series Financial market Inefficiency Econophysics Mathematics Stock market index Volatility (finance) Hurst exponent |
spellingShingle |
Economía Matemática Emerging markets Econometrics Time series Financial market Inefficiency Econophysics Mathematics Stock market index Volatility (finance) Hurst exponent Zunino, Luciano José Tabak, Benjamin Miranda Pérez, Darío G. Garavaglia, Mario José Rosso, Osvaldo A. Inefficiency in Latin-American market indices |
topic_facet |
Economía Matemática Emerging markets Econometrics Time series Financial market Inefficiency Econophysics Mathematics Stock market index Volatility (finance) Hurst exponent |
description |
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. |
format |
Articulo Preprint |
author |
Zunino, Luciano José Tabak, Benjamin Miranda Pérez, Darío G. Garavaglia, Mario José Rosso, Osvaldo A. |
author_facet |
Zunino, Luciano José Tabak, Benjamin Miranda Pérez, Darío G. Garavaglia, Mario José Rosso, Osvaldo A. |
author_sort |
Zunino, Luciano José |
title |
Inefficiency in Latin-American market indices |
title_short |
Inefficiency in Latin-American market indices |
title_full |
Inefficiency in Latin-American market indices |
title_fullStr |
Inefficiency in Latin-American market indices |
title_full_unstemmed |
Inefficiency in Latin-American market indices |
title_sort |
inefficiency in latin-american market indices |
publishDate |
2007 |
url |
http://sedici.unlp.edu.ar/handle/10915/127235 |
work_keys_str_mv |
AT zuninolucianojose inefficiencyinlatinamericanmarketindices AT tabakbenjaminmiranda inefficiencyinlatinamericanmarketindices AT perezdariog inefficiencyinlatinamericanmarketindices AT garavagliamariojose inefficiencyinlatinamericanmarketindices AT rossoosvaldoa inefficiencyinlatinamericanmarketindices |
bdutipo_str |
Repositorios |
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1764820451481092097 |