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

The efficient markets hypothesis (EMH) has been a hot topic since its introduction in the 1960s. This problem 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 wavelet approaches and multifractal detrended fluctuation analysis (MF-DFA) to analyze the efficient market hypothesis of the BRVM10 index of the WAEMU regional stock change. Our fi findings show that the log return of BRVM10 index exhibits a persistent and multifractal process.


Auteur(s) : Oumou Kalsoum Diallo, Pierre Mendy
Année de publication : 2019
Revue : World Journal of Applied Economics
Type : Article
Mise en ligne par : MENDY Pierre