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Multifractal structure in Latin-American market indices
| Indexado |
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| DOI | 10.1016/J.CHAOS.2008.09.013 | ||||
| Año | 2009 | ||||
| Tipo | artículo de investigación |
Citas Totales
Autores Afiliación Chile
Instituciones Chile
% Participación
Internacional
Autores
Afiliación Extranjera
Instituciones
Extranjeras
Abstract
We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging markets. Moreover, we propose a stock market inefficiency ranking by considering the multifractality degree as a measure of inefficiency. Finally, we analyze the sources of multifractality quantifying the contributions of two factors, the long-range correlations of the time series and the broad fat-tail distributions. We find that the multifractal structure of Latin-American market indices can be mainly attributed to the latter. (C) 2008 Elsevier Ltd. All rights reserved.
| WOS |
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| Physics, Multidisciplinary |
| Mathematics, Interdisciplinary Applications |
| Physics, Mathematical |
| Scopus |
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| Engineering (All) |
| Applied Mathematics |
| Mathematical Physics |
| Physics And Astronomy (All) |
| Statistical And Nonlinear Physics |
| SciELO |
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| Sin Disciplinas |
| Ord. | Autor | Género | Institución - País |
|---|---|---|---|
| 1 | Zunino, Luciano | Hombre |
Ctr Invest Opt - Argentina
UNLP - Argentina UNIV NACL LA PLATA - Argentina Centro de Investigaciones Opticas - La Plata - Argentina Facultad de Ingeniería, Universidad Nacional de La Plata - Argentina Facultad de Ciencias Exactas, Universidad Nacional de La Plata - Argentina |
| 2 | Figliola, Alejandra | Mujer |
Univ Nacl Gen Sarmiento - Argentina
Universidad Nacional de General Sarmiento - Argentina |
| 3 | Tabak, Benjamin M. | Hombre |
Univ Catolica Brasilia - Brasil
Banco Do Brasil - Brasil Universidade Católica de Brasília - Brasil Central Bank of Brazil - Brasil |
| 4 | PEREZ, DARIO GABRIEL | Hombre |
Pontificia Universidad Católica de Valparaíso - Chile
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| 5 | Garavaglia, M. | Hombre |
Ctr Invest Opt - Argentina
UNIV NACL LA PLATA - Argentina Centro de Investigaciones Opticas - La Plata - Argentina Facultad de Ciencias Exactas, Universidad Nacional de La Plata - Argentina Facultad de Ingeniería, Universidad Nacional de La Plata - Argentina |
| 6 | Rosso, Osvaldo A. | Hombre |
UNIV NEWCASTLE - Australia
UNIV BUENOS AIRES - Argentina University of Newcastle, Australia - Australia University of Buenos Aires Instituto de Cálculo - Argentina The University of Newcastle, Australia - Australia |
| Fuente |
|---|
| Consejo Nacional de Investigaciones Científicas y Técnicas |
| Comisión Nacional de Investigación Científica y Tecnológica (CONICYT) |
| Fondo Nacional de Desarrollo Científico y Tecnológico |
| Comisión Nacional de Investigación Científica y Tecnológica |
| Pontificia Universidad Católica de Valparaíso |
| Australian Research Council |
| Fondecyt, Chile |
| Comisión Nacional de Investigación CientÃfica y Tecnológica |
| Fondo Nacional de Desarrollo CientÃfico, Tecnológico y de Innovación Tecnológica |
| Consejo Nacional de Investigaciones CientÃficas y Técnicas |
| Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET), Argentina |
| Pontificia Universidad Catolica de Valparaiso (PUCV), Chile |
| Pontificia Universidad Católica de ValparaÃso |
| Universidad Nacional de General Sarmiento |
| CNPq foundation |
| Australian Research Council (ARC) Centre of Excellence in Bioinformatics, Australia |
| Universidad Nacional de General Sarmiento (UNGS) |
| Centre of Excellence in Bioinformatics |
| Agradecimiento |
|---|
| Luciano Zunino was supported by Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET), Argentina. Alejandra Figliola gratefully acknowledges support from Universidad Nacional de General Sarmiento (UNGS) and Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET), Argentina. Benjamin M. Tabak gratefully acknowledges financial support from CNPq foundation. The opinions expressed in the paper do not necessarily reflect those of the Banco Central do Brasil. Dario G. Perez was supported by Comision Nacional de Investigacion Cientifica y Tecnologica (CONICYT, FONDECYT project No. 11060512), Chile, and partially by Pontificia Universidad Catolica de Valparaiso (PUCV, Project No. 123.788/ 2007), Chile. Osvaldo A. Rosso gratefully acknowledges support from Australian Research Council (ARC) Centre of Excellence in Bioinformatics, Australia. |
| Luciano Zunino was supported by Consejo Nacional de Investigaciones Cientı´ficas y Técnicas (CONICET), Argentina. Alejandra Figliola gratefully acknowledges support from Universidad Nacional de General Sarmiento (UNGS) and Consejo Nacional de Investigaciones Cientı´ficas y Técnicas (CONICET), Argentina. Benjamin M. Tabak gratefully acknowledges financial support from CNPq foundation. The opinions expressed in the paper do not necessarily reflect those of the Banco Central do Brasil. Darío G. Pérez was supported by Comisión Nacional de Investigación Científica y Tecnológica (CONICYT, FONDECYT project No. 11060512), Chile, and partially by Pontificia Universidad Católica de Valparaíso (PUCV, Project No. 123.788/2007), Chile. Osvaldo A. Rosso gratefully acknowledges support from Australian Research Council (ARC) Centre of Excellence in Bioinformatics, Australia. |
