Persistence Characteristics of Latin American Financial Markets

Sijing Zong, Cornelis Los and Nyonyo Kyaw
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Sijing Zong: Kent State University
Nyonyo Kyaw: Kent State University

Finance from University Library of Munich, Germany

Abstract: The financial rates of return from Latin American stock and currency markets are found to be non-normal, non-stationary, non-ergodic and long-term dependent, i.e., they have long memory. The degree of long- term dependence is measured by monofractal (global) Hurst exponents from wavelet multiresolution analysis (MRA). Scalograms and scalegrams provide the respective visualizations of these wavelet coefficients and the power spectrum of the rates of return. The slope of the power spectrum identifies the Hurst exponent and thereby the degree of scaling dependence that cannot be determined by Box-Jenkins type time series analysis. Our dependency and time and frequency scaling results are consistent with similar empirical findings from American, European, and Asian financial markets, extending the domain of the empirical investigation of the dynamics and risk characteristics of financial markets and refuting the hypothesis of perfectly efficient markets.

Keywords: financial markets; long memory; Hurst exponent; scalegram; wavelets; multiresolution analysis; measurement accuracy (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 49 pages
Date: 2004-11-09
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-ifn
Note: Type of Document - pdf; pages: 49
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Persistence characteristics of Latin American financial markets (2006)
Working Paper: Persistence Characteristics of Latin American Financial Markets (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0411013

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