Multifractal structure in Latin-American market indices

Luciano Zunino, Alejandra Figliola, Benjamin Tabak, Darío G. Pérez, Mario Garavaglia and Osvaldo A. Rosso

Chaos, Solitons & Fractals, 2009, vol. 41, issue 5, 2331-2340

Abstract: We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging markets. Moreover, we propose a stock market inefficiency ranking by considering the multifractality degree as a measure of inefficiency. Finally, we analyze the sources of multifractality quantifying the contributions of two factors, the long-range correlations of the time series and the broad fat-tail distributions. We find that the multifractal structure of Latin-American market indices can be mainly attributed to the latter.

Date: 2009
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Citations: View citations in EconPapers (37)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:41:y:2009:i:5:p:2331-2340

DOI: 10.1016/j.chaos.2008.09.013

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