Inefficiency in Latin-American market indices

Title: Inefficiency in Latin-American market indices
Creator: Zunino, L.; Tabak, B. M.; Perez, D. G.; Garavaglia, M.; Rosso, O. A.
Relation: European Physical Journal B Vol. 60, Issue 1, p. 111-121
Publisher Link: http://dx.doi.org/10.1140/epjb/e2007-00316-y
Publisher: EDP Sciences
Resource Type: journal article
Date: 2007
Description: We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the stock market indices under analysis. On the other hand, the Tsallis q entropic index is measured in order to take into account the deviations from the Gaussian hypothesis. Different dynamic rankings of inefficieny are obtained, each of them contemplates a different source of inefficiency. Comparing with the results obtained for a developed country (US), we confirm a similar degree of long-range dependence for our emerging markets. Moreover, we show that the inefficiency in the Latin-American countries comes principally from the non-Gaussian form of the probability distributions.
Subject: Latin-America; market indices; Hurst exponent; Tsallis q entropic index; inefficiency
Identifier: http://hdl.handle.net/1959.13/33275
Identifier: uon:3148
Identifier: ISSN:1434-6036
Language: eng
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