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Inefficiency in Latin-American market indices

handle: 10533/178329 , 11336/244234 , 1959.13/33275
Inefficiency in Latin-American market indices
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.
- National University of La Plata Argentina
- National Scientific and Technical Research Council Argentina
- National Scientific and Technical Research Council Argentina
- University of Newcastle Australia Australia
- University of Buenos Aires Argentina
Complex systems, Time series, Emerging markets, Econophysics, Time series analysis, Economics; econophysics,, Financial market, 332, Economía, https://purl.org/becyt/ford/1.3, Econometrics, market indices, https://purl.org/becyt/ford/1, Volatility (finance), Hurst exponent, Matemática, 05.45.Tp Time series analysis, 89.65.Gh Economics; econophysics, financial markets, business and management, 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion, 89.75.-k Complex systems,, Financial markets, Tsallis q entropic index, Stock market index, inefficiency, Random processes, Fluctuation phenomena,, Business and management, Latin-America, Brownian motion, Noise, Inefficiency, Mathematics
Complex systems, Time series, Emerging markets, Econophysics, Time series analysis, Economics; econophysics,, Financial market, 332, Economía, https://purl.org/becyt/ford/1.3, Econometrics, market indices, https://purl.org/becyt/ford/1, Volatility (finance), Hurst exponent, Matemática, 05.45.Tp Time series analysis, 89.65.Gh Economics; econophysics, financial markets, business and management, 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion, 89.75.-k Complex systems,, Financial markets, Tsallis q entropic index, Stock market index, inefficiency, Random processes, Fluctuation phenomena,, Business and management, Latin-America, Brownian motion, Noise, Inefficiency, Mathematics
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