{"title":"市场效率的小波前导与多重分形趋势波动分析:来自WAEMU市场指数的证据","authors":"Oumou Kalsoum Diallo, P. Mendy","doi":"10.22440/WJAE.5.1.1","DOIUrl":null,"url":null,"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.","PeriodicalId":447082,"journal":{"name":"World Journal of Applied Economics","volume":"18 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":"{\"title\":\"Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from the WAEMU Market Index\",\"authors\":\"Oumou Kalsoum Diallo, P. Mendy\",\"doi\":\"10.22440/WJAE.5.1.1\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":447082,\"journal\":{\"name\":\"World Journal of Applied Economics\",\"volume\":\"18 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-05-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"World Journal of Applied Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.22440/WJAE.5.1.1\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"World Journal of Applied Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.22440/WJAE.5.1.1","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from the WAEMU Market Index
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.
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