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Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market

Author

Listed:
  • Sergio Da Silva

    (Department of Economics, Federal University of Santa Catarina)

  • Annibal Figueiredo

    (Department of Physics, University of Brasilia)

  • Iram Gleria

    (Institute of Physics, Federal University of Alagoas)

  • Raul Matsushita

    (Department of Statistics, University of Brasilia)

Abstract
We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market using Hurst exponents (Hurst 1951, 1955, Feder 1988), which offer an alternative (from statistical physics) to traditional econometric gauges. We show that a trend toward efficiency has been reverted since the crisis of 1999. We also find power laws (Mantegna and Stanley 2000) in means, volatilities, the Hurst exponents, autocorrelation times, and complexity indices of returns for varying time lags.

Suggested Citation

  • Sergio Da Silva & Annibal Figueiredo & Iram Gleria & Raul Matsushita, 2007. "Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-11.
    • Handle: RePEc:ebl:ecbull:eb-06g10032
    as

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    File URL: http://www.accessecon.com/pubs/EB/2007/Volume7/EB-06G10032A.pdf
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

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    4. Lazăr, Dorina & Todea, Alexandru & Filip, Diana, 2012. "Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets," Economic Systems, Elsevier, vol. 36(3), pages 338-350.
    5. Guglielmo Maria Caporale & Alex Plastun, 2022. "Persistence in High Frequency Financial Data," CESifo Working Paper Series 10045, CESifo.
    6. Asif, Raheel & Frömmel, Michael, 2022. "Testing Long memory in exchange rates and its implications for the adaptive market hypothesis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
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    10. Chaker Aloui & Ben hamida Hela, 2011. "Hurst's exponent behaviour, weak-form stock market efficiency and financial liberalization: the Tunisian case," Economics Bulletin, AccessEcon, vol. 31(1), pages 830-843.
    11. Vinodh Madhavan & Rakesh Arrawatia, 2016. "Relative Efficiency of G8 Sovereign Credit Default Swaps and Bond Scrips: An Adaptive Market Hypothesis Perspective," Studies in Microeconomics, , vol. 4(2), pages 127-150, December.
    12. Horta, Paulo & Lagoa, Sérgio & Martins, Luís, 2014. "The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 140-153.
    13. Abounoori, Esmaiel & Shahrazi, Mahdi & Rasekhi, Saeed, 2012. "An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3170-3179.

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    More about this item

    Keywords

    econophysics;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance

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