A multifractal approach for stock market inefficiency

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

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 26, 6558-6566

Abstract: In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model to test the relationship between the stage of market development and the multifractality degree and find robust evidence that the relationship is negative, i.e., higher multifractality is associated with a less developed market. Thus, an inefficiency ranking can be derived from multifractal analysis. Finally, a link with previous volatility time series results is established.

Keywords: Multifractal detrended fluctuation analysis; Multifractality degree; Stock market inefficiency (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (157)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:26:p:6558-6566

DOI: 10.1016/j.physa.2008.08.028

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