Estimación del coeficiente de Hurst con wavelets de índices accionarios de Turquía, Indonesia, México y Corea del Sur

Stephanie Rendón de la Torre ()
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Stephanie Rendón de la Torre: UNAM

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2012, vol. 6, issue 2, 27-50

Abstract: This work uses wavelets in determining Hurst´s coefficient of the most important stock indices of four emerging markets known as the next new economies that will compound the BRIC group: Mexico, North Korea, Turkey and Indonesia. The objectives are: to determine whether or not persistence behavior in the long run exists for these indices; if under this perspective they should be considered as emerging markets or mature markets, to assess the non-linear and fractal characteristics (if found), to verify if it is possible to estimate future tendencies using wavelet techniques, to assess the results and to find new possibilities for financial fractal analysis and to seek other alternatives under this investigation research line. Finally, this work proposes a research field more viable and in accordance with the criticism to random walk and EMH (Efficient Market Hypothesis) approach of markets

Keywords: Wavelet; análisis fractal; coeficiente de Hurst; persistencia; mercado emergente (search for similar items in EconPapers)
JEL-codes: C02 C46 C58 G14 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:201206

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