| Institution: | (1) Centro de Investigaciones ópticas, C.C. 124 Correo Central, 1900 La Plata, Argentina;(2) Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de La Plata (UNLP), 1900 La Plata, Argentina;(3) Departamento de Física, Facultad de Ciencias Exactas, Universidad Nacional de La Plata, 1900 La Plata, Argentina;(4) Banco Central do Brasil, SBS Quadra 3, Bloco B, 9 andar, DF, 70074-900, Brazil;(5) Instituto de Física, Pontificia Universidad Católica de Valparaíso (PUCV), 23-40025, Valparaíso, Chile;(6) Chaos & Biology Group, Instituto de Cálculo, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Pabellón II, Ciudad Universitaria, 1428 Ciudad de Buenos Aires, Argentina;(7) Centre for Bioinformatics, Biomarker Discovery and Information-Based Medicine, School of Electrical Engineering and Computer Science, The University of Newcastle, University Drive, Callaghan, NSW, 2308, Australia |
| 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. |
