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Multifractal structure in Latin-American market indices

Author

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  • Zunino, Luciano
  • Figliola, Alejandra
  • Tabak, Benjamin M.
  • Pérez, Darío G.
  • Garavaglia, Mario
  • Rosso, Osvaldo A.

Abstract

We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging markets. Moreover, we propose a stock market inefficiency ranking by considering the multifractality degree as a measure of inefficiency. Finally, we analyze the sources of multifractality quantifying the contributions of two factors, the long-range correlations of the time series and the broad fat-tail distributions. We find that the multifractal structure of Latin-American market indices can be mainly attributed to the latter.

Suggested Citation

  • Zunino, Luciano & Figliola, Alejandra & Tabak, Benjamin M. & Pérez, Darío G. & Garavaglia, Mario & Rosso, Osvaldo A., 2009. "Multifractal structure in Latin-American market indices," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2331-2340.
    • Handle: RePEc:eee:chsofr:v:41:y:2009:i:5:p:2331-2340
    DOI: 10.1016/j.chaos.2008.09.013
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