Stock Market Efficiency Analysis using Long Spans of Data: A Multifractal Detrended Fluctuation Approach
Aviral Tiwari (),
Goodness Aye () and
Rangan Gupta ()
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Goodness Aye: Department of Economics, University of Pretoria, Pretoria, South Africa.
No 201824, Working Papers from University of Pretoria, Department of Economics
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). 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. We draw the economic implications of these results.
Keywords: Economic Stock market; efficiency; short-term; long-term; multifractal detrended fluctuation analysis; Hurst exponent (search for similar items in EconPapers)
JEL-codes: C22 G10 G14 G15 (search for similar items in EconPapers)
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Journal Article: Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201824
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