Articlehybrid2023

Fintech market efficiency: A multifractal detrended fluctuation analysis

Keshab Shrestha · Babak Naysary · Sheena Sara Suresh Philip

27 citations0/0 files storedFinance research letters

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Financial Markets and Investment Strategies FinTech, Crowdfunding, Digital Finance Complex Systems and Time Series Analysis

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.

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References

1970Efficient Capital Markets: A Review of Theory and Empirical Work 2002Multifractal detrended fluctuation analysis of nonstationary time series 2016The Inefficiency of Bitcoin 2016On the inefficiency of Bitcoin 2017The inefficiency of Bitcoin revisited: A dynamic approach 2017Informational efficiency of Bitcoin—An extension 2018Liquidity and market efficiency in cryptocurrencies 2018Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets

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