The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and fixed income instruments by using the generalized Hurst approach. We show that the scaling exponents are associated with characteristics of the specific markets and can be used to differentiate markets in their stage of development. The robustness of the results is tested by both Monte-Carlo studies and a computation of the scaling in the frequency-domain.
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Paper provided by EconWPA in its series Econometrics with number
0503004.
Find related papers by JEL classification: C00 - Mathematical and Quantitative Methods - - General - - - General C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General G00 - Financial Economics - - General - - - General G1 - Financial Economics - - General Financial Markets
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