Artículo
Inefficiency in Latin-American market indices
Fecha de publicación:
11/2007
Editorial:
Springer
Revista:
European Physical Journal B - Condensed Matter
ISSN:
1434-6028
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
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.
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Articulos(CIOP)
Articulos de CENTRO DE INVEST.OPTICAS (I)
Articulos de CENTRO DE INVEST.OPTICAS (I)
Articulos(SEDE CENTRAL)
Articulos de SEDE CENTRAL
Articulos de SEDE CENTRAL
Citación
Zunino, Luciano José; Tabak, B. M.; Pérez, D. G.; Garavaglia, Mario Jose; Rosso, Osvaldo Anibal; Inefficiency in Latin-American market indices; Springer; European Physical Journal B - Condensed Matter; 60; 1; 11-2007; 111-121
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