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|Title:||Inefficiency in Latin-American market indices|
Tabak, Benjamin Miranda
Pérez, Darío G.
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|
|Citation:||ZUNINO, L.et al. Inefficiency in Latin-American market indices. European Physical Journal B, v. 60, n. 1, p. 111-121, nov. 2007|
|Access Type:||Acesso Aberto|
|Appears in Collections:||PPG - Revistas e Artigos Científicos|
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