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A multifractal approach for stock market inefficiency |
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| Authors: | L Zunino BM Tabak A Figliola OA Rosso |
| Institution: | a Centro de Investigaciones Ópticas, C.C. 124 Correo Central, 1900 La Plata, Argentina b Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de La Plata (UNLP), 1900 La Plata, Argentina c Departamento de Física, Facultad de Ciencias Exactas, Universidad Nacional de La Plata, 1900 La Plata, Argentina d Banco Central do Brasil, SBS Quadra 3, Bloco B, 9 andar, DF 70074-900, Brazil e Universidade Catolica de Brasilia, Brasilia, DF, Brazil f Chaos & Biology Group, Instituto de Desarrollo Humano, Universidad Nacional de General Sarmiento, Campus Universitario, Modulo 5, Juan Maria Gutierrez 1150, Los Polvorines, Pcia. de Buenos Aires, Argentina g Instituto de Física, Pontificia Universidad Católica de Valparaíso (PUCV), 23-40025 Valparaíso, Chile h 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 i 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 |
| Abstract: | In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model to test the relationship between the stage of market development and the multifractality degree and find robust evidence that the relationship is negative, i.e., higher multifractality is associated with a less developed market. Thus, an inefficiency ranking can be derived from multifractal analysis. Finally, a link with previous volatility time series results is established. |
| Keywords: | 89 65 Gh 05 45 Tp 89 75 Da |
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