Fintech market efficiency: A multifractal detrended fluctuation analysis

•Analyze efficiency of four S&P Kensho fintech indices using MF-DFA.•Based on generalized hurst exponent, the democratized banking index market is found to be the most inefficient.•Alternative finance index market is found to be the most efficient.•Autocorrelated returns and/or extreme returns a...

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Bibliographic Details
Published in:Finance research letters 2023-06, Vol.54, p.103775, Article 103775
Main Authors: Shrestha, Keshab, Naysary, Babak, Philip, Sheena Sara Suresh
Format: Article
Language:English
Subjects:
Fintech
Market efficiency
MF-DFA
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Summary:•Analyze efficiency of four S&P Kensho fintech indices using MF-DFA.•Based on generalized hurst exponent, the democratized banking index market is found to be the most inefficient.•Alternative finance index market is found to be the most efficient.•Autocorrelated returns and/or extreme returns are found to be the causes of the inefficiency. 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.
ISSN:1544-6123
1544-6131
DOI:10.1016/j.frl.2023.103775