Persistence Characteristics of Latin American Financial Markets

Kent State University Finance Working Paper

49 Pages Posted: 1 Apr 2003

See all articles by Nyo Nyo A. Kyaw

Nyo Nyo A. Kyaw

Kent State University - Department of Finance

Cornelis A. Los

University of California at Irvine - The Paul Merage School of Business; EMEPS Associates

Sijing Zong

California State University, Stanislaus - School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: November 8, 2004

Abstract

The financial rates of return from Latin American stock and currency markets are found to be non-normal, non-stationary, non-ergodic and long-term dependent, i.e., they have long memory. The degree of long-term dependence is measured by monofractal (global) Hurst exponents from wavelet multiresolution analysis (MRA). Scalograms and scalegrams provide the respective visualizations of these wavelet coefficients and the power spectrum of the rates of return. The slope of the power spectrum identifies the Hurst exponent and thereby the degree of scaling dependence that cannot be determined by Box-Jenkins type time series analysis. Our dependency and time and frequency scaling results are consistent with similar empirical findings from American, European, and Asian financial markets, extending the domain of the empirical investigation of the dynamics and risk characteristics of financial markets and refuting the hypothesis of perfectly efficient markets.

Keywords: Persistence, Hurst Exponent, Nonstationarity, Nonergodicity, Financial Markets, Latin America

JEL Classification: G15, G14, G12, F31

Suggested Citation

Kyaw, Nyo Nyo A. and Los, Cornelis A. and Zong, Sijing, Persistence Characteristics of Latin American Financial Markets (November 8, 2004). Kent State University Finance Working Paper, Available at SSRN: https://ssrn.com/abstract=298745 or http://dx.doi.org/10.2139/ssrn.298745

Nyo Nyo A. Kyaw

Kent State University - Department of Finance ( email )

College of Business Administration
P.O. Box 5190
Kent, OH 44242-0001
United States
330-672-1208 (Phone)
330-672-9806 (Fax)

Cornelis A. Los (Contact Author)

University of California at Irvine - The Paul Merage School of Business ( email )

SB1
Irvine, CA 92697-3125
United States

HOME PAGE: http://merage.uci.edu/research-faculty/faculty-directory/Cornelis-Los.html

EMEPS Associates ( email )

Escondido, CA 92029
United States
760-294-0255 (Phone)
858-635-4783 (Fax)

Sijing Zong

California State University, Stanislaus - School of Business ( email )

Turlock, CA 95382
United States

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