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Inefficiency in Latin-American market indices

  • Interdisciplinary Physics
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Abstract.

We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the stock market indices under analysis. On the other hand, the Tsallis q entropic index is measured in order to take into account the deviations from the Gaussian hypothesis. Different dynamic rankings of inefficieny are obtained, each of them contemplates a different source of inefficiency. Comparing with the results obtained for a developed country (US), we confirm a similar degree of long-range dependence for our emerging markets. Moreover, we show that the inefficiency in the Latin-American countries comes principally from the non-Gaussian form of the probability distributions.

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Authors and Affiliations

  1. Centro de Investigaciones Ópticas, C.C. 124 Correo Central, 1900, La Plata, Argentina

    L. Zunino & M. Garavaglia

  2. Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de La Plata (UNLP), 1900, La Plata, Argentina

    L. Zunino

  3. Departamento de Física, Facultad de Ciencias Exactas, Universidad Nacional de La Plata, 1900, La Plata, Argentina

    L. Zunino & M. Garavaglia

  4. Banco Central do Brasil, SBS Quadra 3, Bloco B, 9 andar, DF, 70074-900, Brazil

    B. M. Tabak

  5. Instituto de Física, Pontificia Universidad Católica de Valparaíso (PUCV), 23-40025, Valparaíso, Chile

    D. G. Pérez

  6. Chaos & Biology Group, Instituto de Cálculo, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Pabellón II, Ciudad Universitaria, 1428, Ciudad de Buenos Aires, Argentina

    O. A. Rosso

  7. Centre for Bioinformatics, Biomarker Discovery and Information-Based Medicine, School of Electrical Engineering and Computer Science, The University of Newcastle, University Drive, Callaghan, NSW, 2308, Australia

    O. A. Rosso

Authors
  1. L. Zunino
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  2. B. M. Tabak
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  3. D. G. Pérez
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  4. M. Garavaglia
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  5. O. A. Rosso
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Correspondence to L. Zunino.

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Zunino, L., Tabak, B., Pérez, D. et al. Inefficiency in Latin-American market indices. Eur. Phys. J. B 60, 111–121 (2007). https://doi.org/10.1140/epjb/e2007-00316-y

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  • DOI: https://doi.org/10.1140/epjb/e2007-00316-y

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