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Type: Artigo
Title: Inefficiency in Latin-American market indices
Authors: Zunino, Luciano
Tabak, Benjamin Miranda
Pérez, Darío G.
Garavaglia, Mario
Rosso, Osvaldo A.
Abstract: 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
Keywords: Financial markets
Fluctuation phenomena
Citation: ZUNINO, al. Inefficiency in Latin-American market indices. European Physical Journal B, v. 60, n. 1, p. 111-121, nov. 2007
Access Type: Acesso Aberto
Document date: 2007
Appears in Collections:PPG - Revistas e Artigos Científicos

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