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Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index

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  • Stavroyiannis, S.
  • Makris, I.
  • Nikolaidis, V.
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    Abstract

    We examine the dynamic properties of the daily returns of the Athens Stock Exchange General Index. The probability density and cumulative distribution functions are studied using the generalized non-extensive statistics framework. The multifractal properties are investigated by application of wavelet transform modulus maxima and multifractal detrended fluctuation analysis methods. The generalized Hurst exponent, saturating for large moment values, shows a significant multifractality range which is connected to the inefficiency of the market, compared to the matured markets.

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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 19 (2010)
    Issue (Month): 1 (January)
    Pages: 19-24

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    Handle: RePEc:eee:finana:v:19:y:2010:i:1:p:19-24

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    Web page: http://www.elsevier.com/locate/inca/620166

    Related research

    Keywords: Greek stock market Hurst exponent Multifractal analysis Tsallis statistics;

    References

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    Cited by:
    1. El Alaoui, Marwane & Benbachir, Saâd, 2013. "Multifractal detrended cross-correlation analysis in the MENA area," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5985-5993.
    2. Liu, Li & Wang, Yudong & Wan, Jieqiu, 2010. "Analysis of efficiency for Shenzhen stock market: Evidence from the source of multifractality," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 237-241, September.
    3. Benbachir, Saâd & El Alaoui, Marwane, 2011. "A Multifractal Detrended Fluctuation Analysis of the Moroccan Stock Exchange," MPRA Paper 49003, University Library of Munich, Germany.

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