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Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from WAEMU Market Index

Author

Listed:
  • Oumou Kalsoum Diallo

    (Laboratory of Mathematics of the Decision and Numerical Analysis, Cheikh Anta Diop University)

  • Pierre Mendy

    (Laboratory of Mathematics of the Decision and Numerical Analysis, Cheikh Anta Diop University)

Abstract

Efficient markets hypothesis (EMH) has been a hot topic since its introduction in the 1960s. This problematic is a current topic and has been the subject of many studies with different methods. This paper examines the weak-form efficiency of the WAEMU stock exchange from 11/04/2008 to 23/08/2016. We combined the wavelets approaches and multifractal detrended fluctuation analysis (MF-DFA) to analyse the efficient market hypothesis of the BRVM10 index of the WAEMU regional stock change. Our findings show that the log return of BRVM10 index exhibits a persistent and multifractal process.

Suggested Citation

  • Oumou Kalsoum Diallo & Pierre Mendy, 2019. "Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from WAEMU Market Index," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 5(1), pages 1-23, June.
    • Handle: RePEc:ana:journl:v:5:y:2019:i:1:p:1-23
    DOI: 10.22440/wjae.5.1.1
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    References listed on IDEAS

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    More about this item

    Keywords

    Efficient market hypothesis; Wavelet; MF-DFA; BVRM10; Hurst exponent; Wavelet leaders;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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