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Fintech market efficiency: A multifractal detrended fluctuation analysis

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  • Shrestha, Keshab
  • Naysary, Babak
  • Philip, Sheena Sara Suresh

Abstract

The efficiency of the Fintech market is still an unverified issue. We aim to investigate the Fintech market efficiency for four S&P Kensho Fintech indices using the multifractal detrended fluctuation analysis (MF-DFA) method. All indices except one are found to be inefficient based on the joint hypothesis tests. We also find combinations of autocorrelation and/or extreme values as the main causes of the inefficiencies.

Suggested Citation

  • Shrestha, Keshab & Naysary, Babak & Philip, Sheena Sara Suresh, 2023. "Fintech market efficiency: A multifractal detrended fluctuation analysis," Finance Research Letters, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001484
    DOI: 10.1016/j.frl.2023.103775
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    References listed on IDEAS

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    More about this item

    Keywords

    Fintech; Market efficiency; MF-DFA;
    All these keywords.

    JEL classification:

    • 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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