A multifractal approach for stock market inefficiency
In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model to t...
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| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_03784371_v387_n26_p6558_Zunino |
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todo:paper_03784371_v387_n26_p6558_Zunino2023-10-03T15:32:53Z A multifractal approach for stock market inefficiency Zunino, L. Tabak, B.M. Figliola, A. Pérez, D.G. Garavaglia, M. Rosso, O.A. Multifractal detrended fluctuation analysis Multifractality degree Stock market inefficiency Commerce Inventory control Time series analysis Empirical results Market developments Multi fractals Multifractal Analysis Multifractal detrended fluctuation analysis Multifractality Multifractality degree Stock indices Stock market inefficiency Stock markets Time-series Marketing In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model to test the relationship between the stage of market development and the multifractality degree and find robust evidence that the relationship is negative, i.e., higher multifractality is associated with a less developed market. Thus, an inefficiency ranking can be derived from multifractal analysis. Finally, a link with previous volatility time series results is established. © 2008 Elsevier B.V. All rights reserved. Fil:Figliola, A. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_03784371_v387_n26_p6558_Zunino |
| institution |
Universidad de Buenos Aires |
| institution_str |
I-28 |
| repository_str |
R-134 |
| collection |
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) |
| topic |
Multifractal detrended fluctuation analysis Multifractality degree Stock market inefficiency Commerce Inventory control Time series analysis Empirical results Market developments Multi fractals Multifractal Analysis Multifractal detrended fluctuation analysis Multifractality Multifractality degree Stock indices Stock market inefficiency Stock markets Time-series Marketing |
| spellingShingle |
Multifractal detrended fluctuation analysis Multifractality degree Stock market inefficiency Commerce Inventory control Time series analysis Empirical results Market developments Multi fractals Multifractal Analysis Multifractal detrended fluctuation analysis Multifractality Multifractality degree Stock indices Stock market inefficiency Stock markets Time-series Marketing Zunino, L. Tabak, B.M. Figliola, A. Pérez, D.G. Garavaglia, M. Rosso, O.A. A multifractal approach for stock market inefficiency |
| topic_facet |
Multifractal detrended fluctuation analysis Multifractality degree Stock market inefficiency Commerce Inventory control Time series analysis Empirical results Market developments Multi fractals Multifractal Analysis Multifractal detrended fluctuation analysis Multifractality Multifractality degree Stock indices Stock market inefficiency Stock markets Time-series Marketing |
| description |
In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model to test the relationship between the stage of market development and the multifractality degree and find robust evidence that the relationship is negative, i.e., higher multifractality is associated with a less developed market. Thus, an inefficiency ranking can be derived from multifractal analysis. Finally, a link with previous volatility time series results is established. © 2008 Elsevier B.V. All rights reserved. |
| format |
JOUR |
| author |
Zunino, L. Tabak, B.M. Figliola, A. Pérez, D.G. Garavaglia, M. Rosso, O.A. |
| author_facet |
Zunino, L. Tabak, B.M. Figliola, A. Pérez, D.G. Garavaglia, M. Rosso, O.A. |
| author_sort |
Zunino, L. |
| title |
A multifractal approach for stock market inefficiency |
| title_short |
A multifractal approach for stock market inefficiency |
| title_full |
A multifractal approach for stock market inefficiency |
| title_fullStr |
A multifractal approach for stock market inefficiency |
| title_full_unstemmed |
A multifractal approach for stock market inefficiency |
| title_sort |
multifractal approach for stock market inefficiency |
| url |
http://hdl.handle.net/20.500.12110/paper_03784371_v387_n26_p6558_Zunino |
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