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
Identification Number: https://doi.org/10.1016/j.frl.2023.103775
Dates:
DateEvent
8 March 2023Accepted
13 April 2023Published Online
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 > College of Business, Digital Transformation & Entrepreneurship
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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