Work

Fintech market efficiency: A multifractal detrended fluctuation analysis

Year: 2023

Type: article

Abstract: 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 fluctuation 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.

Source: Finance research letters

DOI: 10.1016/j.frl.2023.103775

Authors: Keshab Shrestha, Babak Naysary, Sheena Sara Suresh Philip

Institution: Monash University Malaysia

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,930

OpenAlex ID: W4323926199

FWCI: 5.703

Cites: 31

Cited by: 27

Related to: 10