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Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach


  • Tiwari, Aviral Kumar
  • Aye, Goodness C.
  • Gupta, Rangan


This paper investigates the multifractality and efficiency of stock markets in eight developed (Canada, France, Germany, Italy, Japan, Switzerland, UK and USA) and two emerging (India and South Africa) countries for which long span of data, covering over or nearly a century in each case, is available to avoid sample bias. We employ the Multifractal Detrended Fluctuation Analysis (MF-DFA) based on the generalized Hurst exponents to compare the relative efficiency between short- and long-run horizons and small and large fluctuations. Our findings show that the stock markets are multifractal and mostly long-term persistent. Most markets are more efficient in the long-term than in the short-term. The findings are robust to small and large fluctuations. Overall, although efficiency level varies over time in these markets, the markets are not weakly efficient in both short- and long-term. We draw the economic implications of these results.

Suggested Citation

  • Tiwari, Aviral Kumar & Aye, Goodness C. & Gupta, Rangan, 2019. "Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach," Finance Research Letters, Elsevier, vol. 28(C), pages 398-411.
  • Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:398-411
    DOI: 10.1016/

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    References listed on IDEAS

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    Cited by:

    1. Aviral Kumar Tiwari & Rangan Gupta & Juncal Cunado & Xin Sheng, 2019. "Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States," Working Papers 201952, University of Pretoria, Department of Economics.
    2. repec:gam:jjrfmx:v:12:y:2019:i:2:p:105-:d:242195 is not listed on IDEAS

    More about this item


    Stock market; Efficiency; Short-term; Long-term; Multifractal detrended fluctuation analysis; Hurst exponent;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets


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