Persistence characteristics of Latin American financial markets

The financial rates of return from Latin American stock and currency markets are found to be non-normal, non-stationary, non-ergodic, and long-term dependent, i.e., they have long memory. The degree of long-term dependence is measured by monofractal (global) Hurst exponents from wavelet multiresolution analysis (MRA). Scalograms and scalegrams provide the respective visualizations of these wavelet coefficients and the power spectrum of the rates of return. The slope of the power spectrum identifies the Hurst exponent and thereby the degree of time-scaling dependence that cannot be determined by Box–Jenkins type, stationarity-based, time series analysis. Our long-term dependence and time–frequency scaling results are consistent with similar empirical findings from American, European, and Asian financial markets. They extend the domain of the empirical investigation of the dynamics and risk characteristics of the global financial markets and refute the hypothesis of perfectly efficient financial markets.