Fintech market efficiency: A multifractal detrended fluctuation analysis

卷:54

Article

关键词: STOCK MARKETS;    INEFFICIENCY;   

DOI  :  10.1016/j.frl.2023.103775

来源: SCIE

【 摘 要 】

The efficiency of the Fintech market is still an unverified issue. We aim to investigate the Fintech market efficiency for four S&P Kensho Fintech indices using the multifractal detrended fluctua-tion analysis (MF-DFA) method. All indices except one are found to be inefficient based on the joint hypothesis tests. We also find combinations of autocorrelation and/or extreme values as the main causes of the inefficiencies.

【 授权许可】

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