Fintech market efficiency: A multifractal detrended fluctuation analysis

Keshab Shrestha, Babak Naysary and Sheena Sara Suresh Philip

Finance Research Letters, 2023, vol. 54, issue C

Abstract: The efficiency of the Fintech market is still an unverified issue. We aim to investigate the Fintech market efficiency for four S&P Kensho Fintech indices using the multifractal detrended fluctuation analysis (MF-DFA) method. All indices except one are found to be inefficient based on the joint hypothesis tests. We also find combinations of autocorrelation and/or extreme values as the main causes of the inefficiencies.

Keywords: Fintech; Market efficiency; MF-DFA (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001484

DOI: 10.1016/j.frl.2023.103775

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