Fintech market efficiency: A multifractal detrended fluctuation analysis
Shrestha, Keshab and Naysary, Babak and Philip, Sheena Sara Suresh (2023) Fintech market efficiency: A multifractal detrended fluctuation analysis. Finance Research Letters, 54. p. 103775. ISSN 1544-6123
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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.
| Item Type: | Article | ||||||
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| Identification Number: | https://doi.org/10.1016/j.frl.2023.103775 | ||||||
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| Uncontrolled Keywords: | Fintech, Market efficiency, MF-DFA | ||||||
| Subjects: | CAH17 - business and management > CAH17-01 - business and management > CAH17-01-07 - finance | ||||||
| Divisions: | Faculty of Business, Law and Social Sciences > Birmingham City Business School | ||||||
| Depositing User: | Babak Naysary | ||||||
| Date Deposited: | 24 Jan 2024 10:33 | ||||||
| Last Modified: | 24 Jan 2024 10:33 | ||||||
| URI: | https://www.open-access.bcu.ac.uk/id/eprint/15155 |
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