Inefficiency in Latin-American market indices

摘要: We explore the deviations from efficiency in returns and volatility of Latin-American market indices. Two different approaches are considered. The dynamics Hurst exponent is obtained via a wavelet rolling sample approach, quantifying degree long memory exhibited by stock indices under analysis. On other hand, Tsallis q entropic index measured order to take into account Gaussian hypothesis. Different dynamic rankings inefficieny obtained, each them contemplates source inefficiency. Comparing with results for developed country (US), we confirm similar long-range dependence our emerging markets. Moreover, show that inefficiency countries comes principally non-Gaussian form probability distributions.