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

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Oumou Kalsoum Diallo
Pierre Mendy

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 uctuation analysis (MF-DFA) to analyse the efficient market hypothesis of the BRVM10 index of the WAEMU regional stock change. Our ndings show that the log return of BRVM10 index exhibits a persistent and multifractal process.

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How to Cite
Diallo, O., & Mendy, P. (2019). Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from the WAEMU Market Index. World Journal of Applied Economics, 5(1), 1-23. https://doi.org/10.22440/wjae.5.1.1
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Research Articles