A multifractal approach for stock market inefficiency

Title: A multifractal approach for stock market inefficiency
Creator: Zunino, L.; Tabak, B. M.; Figliola, A.; Perez, D. G.; Garavaglia, M.; Rosso, O. A.
Relation: Physica A: Statistical Mechanics and Its Applications Vol. 387, Issue 26, p. 6558-6566
Publisher Link: http://dx.doi.org/10.1016/j.physa.2008.08.028
Publisher: Elsevier
Resource Type: journal article
Date: 2008
Description: In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model to test the relationship between the stage of market development and the multifractality degree and find robust evidence that the relationship is negative, i.e., higher multifractality is associated with a less developed market. Thus, an inefficiency ranking can be derived from multifractal analysis. Finally, a link with previous volatility time series results is established.
Subject: multifractal detrended fluctuation analysis; multifractality degree; stock market inefficiency
Identifier: uon:5564
Identifier: http://hdl.handle.net/1959.13/43451
Identifier: ISSN:0378-4371
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