Inefficiency in Latin-American market indices

• Autor(a) principal: Zunino, Luciano
• Data de Publicação: 2007
• Outros Autores: Tabak, Benjamin Miranda, Pérez, Darío G., Garavaglia, Mario, Rosso, Osvaldo A.
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Institucional da UCB
• Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/310; https://repositorio.ucb.br:9443/jspui/handle/123456789/7348
• topic: Financial markets; Fluctuation phenomena

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