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Inefficiency in Latin-American market indices

Authors: Darío G. Pérez; Mario Garavaglia; Osvaldo A. Rosso; Osvaldo A. Rosso; Benjamin Miranda Tabak; Luciano Zunino;

Inefficiency in Latin-American market indices

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.

Countries
Argentina, Argentina, Argentina, Argentina, Australia
Keywords

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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    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    Top 10%
    influence
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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
38
Top 10%
Top 10%
Top 10%
Green
hybrid