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Persistence characteristics of Latin American financial markets

Listed author(s):
  • Kyaw, NyoNyo A.
  • Los, Cornelis A.
  • Zong, Sijing

The financial rates of return from Latin American stock and currency markets are found to be non-normal, non-stationary, non-ergodic and long-term dependent, i.e., they have long memory. The degree of long- term dependence is measured by monofractal (global) Hurst exponents from wavelet multiresolution analysis (MRA). Scalograms and scalegrams provide the respective visualizations of these wavelet coefficients and the power spectrum of the rates of return. The slope of the power spectrum identifies the Hurst exponent and thereby the degree of scaling dependence that cannot be determined by Box-Jenkins type time series analysis. Our dependency and time and frequency scaling results are consistent with similar empirical findings from American, European, and Asian financial markets, extending the domain of the empirical investigation of the dynamics and risk characteristics of financial markets and refuting the hypothesis of perfectly efficient markets.

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Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 16 (2006)
Issue (Month): 3 (July)
Pages: 269-290

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Handle: RePEc:eee:mulfin:v:16:y:2006:i:3:p:269-290
Contact details of provider: Web page: http://www.elsevier.com/locate/mulfin

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