EconPapers    
Economics at your fingertips  
 

Stock Market Efficiency Analysis using Long Spans of Data: A Multifractal Detrended Fluctuation Approach

Aviral Tiwari (), Goodness Aye () and Rangan Gupta ()
Additional contact information
Goodness Aye: Department of Economics, University of Pretoria, Pretoria, South Africa.

No 201824, Working Papers from University of Pretoria, Department of Economics

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). 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)
New Economics Papers: this item is included in nep-fmk
Date: 2018-04
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach (2019) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201824

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

 
Page updated 2019-04-19
Handle: RePEc:pre:wpaper:201824