Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from the WAEMU Market Index

Abstract

Efficient markets hypothesis (EMH) has been a hot topic since its introduction in the 1960s. This problematic is a current topic and has been the subject of many studies with different methods. This paper examines the weak-form efficiency of the WAEMU stock exchange from 11/04/2008 to 23/08/2016. We combined the wavelets approaches and multifractal detrended fluctuation analysis (MF-DFA) to analyse the efficient market hypothesis of the BRVM10 index of the WAEMU regional stock change. Our findings show that the log return of BRVM10 index exhibits a persistent and multifractal process.