Inefficiency in Latin-American market indices

L. Zunino (), Benjamin Tabak, D. G. Pérez, M. Garavaglia and O. A. Rosso

The European Physical Journal B: Condensed Matter and Complex Systems, 2007, vol. 60, issue 1, 111-121

Abstract: 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. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2007

Keywords: 05.45.Tp Time series analysis, 89.65.Gh Economics; econophysics, financial markets, business and management, 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion, 89.75.-k Complex systems, (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (25)

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DOI: 10.1140/epjb/e2007-00316-y

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