 Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approachAviral Tiwari, Goodness C. Aye and Rangan Gupta Finance Research Letters, 2019, vol. 28, issue C, 398-411 Abstract: This paper investigates the multifractality and efficiency of stock markets in eight developed (Canada, France, Germany, Italy, Japan, Switzerland, UK and USA) and two emerging (India and South Africa) countries for which long span of data, covering over or nearly a century in each case, is available to avoid sample bias. We employ the Multifractal Detrended Fluctuation Analysis (MF-DFA) based on the generalized Hurst exponents to compare the relative efficiency between short- and long-run horizons and small and large fluctuations. Our findings show that the stock markets are multifractal and mostly long-term persistent. Most markets are more efficient in the long-term than in the short-term. The findings are robust to small and large fluctuations. Overall, although efficiency level varies over time in these markets, the markets are not weakly efficient in both short- and long-term. We draw the economic implications of these results. Keywords: Stock market; Efficiency; Short-term; Long-term; Multifractal detrended fluctuation analysis; Hurst exponent (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:398-411 DOI: 10.1016/j.frl.2018.06.012 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
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