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Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from WAEMU Market Index

Oumou Kalsoum Diallo () and Pierre Mendy ()
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Oumou Kalsoum Diallo: Laboratory of Mathematics of the Decision and Numerical Analysis, Cheikh Anta Diop University
Pierre Mendy: Laboratory of Mathematics of the Decision and Numerical Analysis, Cheikh Anta Diop University

World Journal of Applied Economics, 2019, vol. 5, issue 1, 1-23

Abstract: Efficient markets hypothesis (EMH) has been a hot topic since its introduction in the 1960s. This problematic is a current topic and has been the subject of many studies with different methods. This paper examines the weak-form efficiency of the WAEMU stock exchange from 11/04/2008 to 23/08/2016. We combined the wavelets approaches and multifractal detrended fluctuation analysis (MF-DFA) to analyse the efficient market hypothesis of the BRVM10 index of the WAEMU regional stock change. Our findings show that the log return of BRVM10 index exhibits a persistent and multifractal process.

Keywords: Efficient market hypothesis; Wavelet; MF-DFA; BVRM10; Hurst exponent; Wavelet leaders (search for similar items in EconPapers)
JEL-codes: C02 C12 C40 G14 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:ana:journl:v:5:y:2019:i:1:p:1-23

DOI: 10.22440/wjae.5.1.1

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