Persistence Characteristics of Latin American Financial Markets

Nyo Nyo A. Kyaw, Cornelis Los and Sijing Zong
Additional contact information
Nyo Nyo A. Kyaw: Kent State University
Sijing Zong: Kent State University

Finance from University Library of Munich, Germany

Abstract: Static time series models usually assume stationarity, normality, and independence for the increments of financial rates of return. This paper investigates the empirical characteristics of financial rates of return from Latin American stock and currency markets and documents that their empirical rates of return are non-normal, non- stationary and non-ergodic, and that they exhibit long-term dependence. This paper measures the degree of long-term dependence of these financial time series by calculating their global, or homogeneous, Hurst exponents from their wavelet multiresolution analyses (MRA), i.e. from the wavelet resonance coefficients. Visualizations of these resonance coefficients and their power spectra are provided by scalograms and scalegrams, respectively. These visualizations help to identify the long-term dependence characteristics, which cannot be identified by the classical time series analysis, which is based on the stationarity and independence assumptions. Our findings are consistent with some empirical findings from financial market data in the USA, in Europe and in Asia, but extend their domain of empirical investigation.

Keywords: Persistence; Hurst Exponent; Nonstationarity; Nonergodicity; Financial Markets; Latin America (search for similar items in EconPapers)
JEL-codes: F31 G12 G14 G15 (search for similar items in EconPapers)
Date: 2004-09-18
New Economics Papers: this item is included in nep-cfn, nep-cmp, nep-fin and nep-ifn
Note: Type of Document - pdf. Kyaw, Nyo Nyo A., Los, Cornelis A. and Zong, Sijing, 'Persistence Characteristics of Latin American Financial Markets' (February 2003). Kent State University Finance Working Paper.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0409/0409048.pdf (application/pdf)

Related works:
Journal Article: Persistence characteristics of Latin American financial markets (2006)
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:wpa:wuwpfi:0409048

Access Statistics for this paper

More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).