Articulo
Inefficiency in Latin-American market indices
Registro en:
issn:1434-6028
issn:1434-6036
Autor
Zunino, Luciano José
Tabak, Benjamin Miranda
Pérez, Darío G.
Garavaglia, Mario José
Rosso, Osvaldo A.
Institución
Resumen
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. Centro de Investigaciones Ópticas