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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May 28, 2019
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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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Diallo, O. and 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), pp. 1-23. doi: 10.22440/wjae.5.1.1.
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References
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Kumar, A., & Kamaiah, B. (2014). Wavelet Based Sample Entropy Analysis: A New Method to Test Weak form Market Efficiency. Theoretical and Applied Economics, 21 (8), 19-26.
Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure are We that Economic Time Series Have a Unit Toot? Journal of Econometrics, 54 (1), 159-178. doi:10.1016/0304-4076(92)90104-Y.
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Alexander, S. (1961). Price Movements in Speculative Markets: Trends or Random Walks? Industrial Management Review, 7-26.
Barnes, P. (1986). Thin Trading and Stock Market Efficiency: The Case of the Kuala Lumpur Stock Exchange. Journal of Business Finance Accounting, 13 (4), 609-617. doi:10.1111/j.1468-5957.1986.tb00522.x.
Benjamin, N. (2007). Marches Boursiers Emergents et Problematique de L'efficience: Le cas de la Bourse Regionale des Valeurs Mobilieres (BRVM) (Ph.D. Thesis).
Bondt, W. F. M. D., & Thaler, R. (1985). Does the Stock Market Overreact? The Journal of Finance, 40 (3), 793-805.
Borges, M. R. (2007). Underpricing of Initial Public Offerings: The Case of Portugal. International Atlantic Economic Society, 13 (1), 65-80. doi:10.1007/sl1294-006-9064-9.
Chang, K.-P., & Ting, K.-S. (2010). A Variance Ratio Test of the Random Walk Hypothesis for Taiwan's Stock Market. Applied Financial Economics, 10 (5), 525-532. doi:10.1080/096031000416406.
Chinn, M., Ito, H., & Chuan, C. (2015). What Matters for Financial Development? Capital Controls, Institutions and Interactions (Working Paper No. 11370). NBER.
Choudhry, T. (1994). Stochastic Trends and Stock Prices: An International Inquiry. Applied Financial Economics, 4 (6), 383-390. doi:10.1080/758518670.
Chowdhury, A. (1994). Stock Market Interdependencies: Evidence from the Asian NIEs. Journal of Macroeconomics, 16 (4), 629-651. doi:10.1016/0164-0704(94)90004-3
Claessens, S., Demirguc-Kunt, A., & Huizinga, H. (2001). How Does Foreign Entry Affect Domestic Banking Markets? Journal of Banking and Finance, 25 (5), 891-911. doi:10.1016/S0378-4266(00)00102-3.
Colmant, B., Gillet, R., & et Szafard, A. (2003). Efficience des Marches: Concepts, Bulles Speculatives et Image Comptable. Larcier.
Cootner, P. (1964). The Random Character of Stock Market Prices. MIT Press, Cambridge.
Cowles, A., & Jones, H. (1937). Some A Posteriori Probabilities in Stock Market Action. Econometrica, 5 (3), 280-294. doi:10.2307/1905515.
Fama, E. (1965). The Behavior of Stock Market Prices. Journal of Business, 38 (1), 34-105.
Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25 (2), 383-417. doi:10.2307/2325486.
Feldstein, M. (2000). Aspects of Global Economic Integration: Outlook for the Future (Working Paper No. 7899). NBER.
Fernandez-Martinez, M., Sanchez-Granero, M. A., Mu~noz Torrecillas, M. J., & McKelvey, B. (2016). A Comparison of Three Hurst Exponent Approaches to Predict Nascent Bubbles in S&P500 Stocks (Working Paper). arXiv. doi:10.1142/S0218348X17500062.
French, K. R., & Roll, R. (1986). Stock Return Variances: The Arrival of Information and the Reaction of Traders. Journal of Financial Economics, 17 (1), 5-26. doi:10.1016/0304-405X(86)90004-8.
Gillet, R., & Szafard, A. (2004). L'efficience informationnelle des marches: Une hypothese et au-dela? (Working Paper No. WP-CEB 04/004). Solvay Business School.
Hagin, R. L. (1966). An Empirical Evaluation of Selected Hypothesis Related to Price Changes in the Stock Market (Ph.D. Thesis). University of California.
Hakkio, C. S., & Rush, M. (1989). Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets. Journal of International Money and Finance, 8 (1), 75-88. doi:10.1016/0261-5606(89)90015-6.
Ikeda, T. (2018). Multifractal Structures for the Russian Stock Market. Physica A: Statistical Mechanics and its Applications, 492 , 2123-2128. doi:10.1016/j.physa.2017.11.129.
Jaffard, S., Lashermes, B., & P., A. (2006). Wavelet Leaders in Multifractal Analysis. In Q. T., V. M.I., & X. Y. (Eds.), Wavelet Analysis and Applications. Applied and Numerical Harmonic Analysis. Birkhauser Basel. doi:10.1007/978-3-7643-7778-6_17.
Jaffard, S., & Melot, C. (2005). Wavelet analysis of fractal Boundaries, Part 2: Multifractal formalism. Communications in Mathematical Physics, 258 (3), 541-565. doi:10.1007/s00220-005-1353-2.
Jayasuriya, K. (2005). Beyond Institutional Fetishism: From the Developmental to the Regulatory State. New Political Economy, 10 (3), 381{387. doi:10.1080/1356340500204290.
Kabbaj, T. (2008). L'art du Trading. Eyrolles.
Kantelhardt, J. W., A.Zschiegner, S., Koscielny-Bundec, E., Havlin, S., Bunde, A., & Stanley, H. E. (2002). Multifractal Detrended Fluctuation Analysis of Nonstationary Time Series. Physica A: Statistical Mechanics and its Applications, 316 (1-4), 87-114. doi:10.1016/S0378-4371(02)01383-3.
Kendall, M., & Debreu, G. (1953). The Analysis of Economic Time-Series-Part I: Prices. Journal of the Royal Statistical Society, Series A (General), 116 (1), 11-34. doi:10.2307/2980947.
Khamis, A., Walid, M., & Seong-Min, Y. (2018). Efficiency, Multifractality, and the Longmemory Property of the Bitcoin Market: A Comparative Analysis with Stock, Currency, and Gold Markets. Finance Research Letters, 27 , 228-234. doi:10.1016/j.frl.2018.03.017.
Kim, M. J., Nelson, C. R., & Startz, R. (1991). Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence. The Review of Economic Studies, 58 (3), 515-528. doi:10.2307/2298009.
Kumar, A., & Kamaiah, B. (2014). Wavelet Based Sample Entropy Analysis: A New Method to Test Weak form Market Efficiency. Theoretical and Applied Economics, 21 (8), 19-26.
Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure are We that Economic Time Series Have a Unit Toot? Journal of Econometrics, 54 (1), 159-178. doi:10.1016/0304-4076(92)90104-Y.
Lahmiri, S. (2017). Multifractal Analysis of Moroccan Family Business Stock Returns. Physica A: Statistical Mechanics and its Applications, 486 , 183-191. doi:10.1016/j.physa.2017.05.048.
Lardic, S., & Mignon, V. (2006). L'efficience informationnelle des marches financiers. La decouverte.
LeRoy, S. (1973). Risk Aversion and the Martingale Property of Stock Prices. International Economic Review, 14 (2), 436{446. doi:10.2307/2525932.
Levy, P. (1925). Calculs des probabilities. Gauthier-Villaris.
Levy, P. (1937). Theorie de l'addition des variables aleatoires. Gauthier-Villaris.
Lo, A. (1997). A Non Random Walk Down Wall Street. In D. Jerison, I. M. Singer, & D. W. Stroock (Eds.), Proceedings of symposia in pure mathematics, pp. 149-183.
Lo, A., & MacKinlay, C. (1988). Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test. The Review of Financial Studies, 1 (1), 41-66. doi:10.1093/rfs/1.1.41.
Lucas, R. (1978). Asset Prices in an Exchange Economy. Econometrica, 46 (6), 1429-1445. doi:10.2307/1913837.
Mandelbrot, B. (1963). The Variation of Certain Speculative Price. The Journal of Business, 36 (4), 394-419.
Merton, R. (1992). Continuous-Time Finance. Wiley-Blackwell.
Mignon, V., & Abraham-Frois, G. (1998). Marches financiers et modelisation des rentabilites boursieres. Economica.
Mobarek, A., & Fiorante, A. (2014). The Prospects of BRIC Countries: Testing Weakform Market Efficiency. Research in International Business and Finance, 30 , 217-232. doi:10.1016/j.ribaf.2013.06.004.
Niederhoffer, V., & Osborne, M. F. M. (1966). Market Making and Reversal on the Stock Exchange. Journal of the American Statistical Association, 61 (316), 897-916. doi:10.2307/2283188.
Osborne, M. (1959). Brownian Motion in the Stock Market. Operations Research, 7 (2), 145-173.
Oswiecimka, P., Kwapien, J., & Drozdz, S. (2005). Multifractality in the Stock Market: Price Increments versus Waiting Times. Physica A: Statistical Mechanics and its Applications, 347 , 626{638. doi:10.1016/j.physa.2004.08.025.
Pareto, V. (1909). Manuel d'economie politique 1909. Cambridge.
Pascoal, R., & Monteiro, A. M. (2014). Market Efficiency, Roughness and Long Memory in PSI20 Index Returns: Wavelet and Entropy Analysis. Entropy, 16 , 2768-2788. doi:10.3390/e16052768.
Peng, C.-K., Buldyrev, S. V., Havlin, S., Simons, M., Stanley, H. E., & Goldberger, A. L. (1994). Mosaic Organisation of DNA Nucleotides. Phys. Rev. E, 49 (2), 1685-1689. doi:10.1103/PhysRevE.49.1685.
Peters, E. (1991). Chaos and Order in the Capital Markets. Wiley, New Yory.
Peters, E. (1994). Fractal Market Analysis. Applying Chaos Theory to Investment & Economics. Wiley, New Yory.
Phillips, P., & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75 (2), 335-346. doi:10.2307/2336182.
Poterba, J., & Summers, L. (1988). Mean Reversion in Stock Prices: Evidence and Implications. Journal of Financial Economics, 22 (1), 27{59. doi:10.1016/0304-405X(88)90021-9.
Rachev, S., Weron, A., & Weron, R. (1999). CED Model for Asset Returns and Fractal Market Hypothesis. Mathematical and Computer Modelling, 29 (10-12), 23-36. doi:10.1016/S0895-7177(99)00090-4.
Ryoo, H.-J., & Smith, G. (2002). Korean Stock Prices Under Price Limits: Variance Ratio Tests of Random Walks. Applied Financial Economics, 12 (8), 545-553. doi:10.1080/09603100010015789.
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