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Zunino, L.; Tabak, B.M.; Pérez, D.G.; Garavaglia, M.; Rosso, O.A. "Inefficiency in Latin-American market indices" (2007) European Physical Journal B. 60(1):111-121
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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. © 2007 EDP Sciences/Società Italiana di Fisica/Springer-Verlag.

Registro:

Documento: Artículo
Título:Inefficiency in Latin-American market indices
Autor:Zunino, L.; Tabak, B.M.; Pérez, D.G.; Garavaglia, M.; Rosso, O.A.
Filiación:Centro de Investigaciones Ópticas, C.C. 124 Correo Central, 1900 La Plata, Argentina
Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de la Plata (UNLP), 1900 La Plata, Argentina
Departamento de Física, Facultad de Ciencias Exactas, Universidad Nacional de la Plata, 1900 La Plata, Argentina
Banco Central do Brasil, SBS Quadra, 3, Bloco B, 9 andar, DF 70074-900, Brazil
Instituto de Física, Pontificia Universidad Católica de Valparaíso (PUCV), 23-40025 Valparaíso, Chile
Chaos and Biology Group, Instituto de Cálculo, Ciudad Universitaria, 1428 Ciudad de Buenos Aires, Argentina
Centre for Bioinformatics, Biomarker Discovery and Information-Based Medicine, School of Electrical Engineering and Computer Science, University of Newcastle, University Drive, Callaghan, NSW 2308, Australia
Palabras clave:Hurst exponent; Stock market indices; Probability distributions; Wavelet analysis; Marketing
Año:2007
Volumen:60
Número:1
Página de inicio:111
Página de fin:121
DOI: http://dx.doi.org/10.1140/epjb/e2007-00316-y
Título revista:European Physical Journal B
Título revista abreviado:Eur. Phys. J. B
ISSN:14346028
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_14346028_v60_n1_p111_Zunino

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Citas:

---------- APA ----------
Zunino, L., Tabak, B.M., Pérez, D.G., Garavaglia, M. & Rosso, O.A. (2007) . Inefficiency in Latin-American market indices. European Physical Journal B, 60(1), 111-121.
http://dx.doi.org/10.1140/epjb/e2007-00316-y
---------- CHICAGO ----------
Zunino, L., Tabak, B.M., Pérez, D.G., Garavaglia, M., Rosso, O.A. "Inefficiency in Latin-American market indices" . European Physical Journal B 60, no. 1 (2007) : 111-121.
http://dx.doi.org/10.1140/epjb/e2007-00316-y
---------- MLA ----------
Zunino, L., Tabak, B.M., Pérez, D.G., Garavaglia, M., Rosso, O.A. "Inefficiency in Latin-American market indices" . European Physical Journal B, vol. 60, no. 1, 2007, pp. 111-121.
http://dx.doi.org/10.1140/epjb/e2007-00316-y
---------- VANCOUVER ----------
Zunino, L., Tabak, B.M., Pérez, D.G., Garavaglia, M., Rosso, O.A. Inefficiency in Latin-American market indices. Eur. Phys. J. B. 2007;60(1):111-121.
http://dx.doi.org/10.1140/epjb/e2007-00316-y