Tiwari, Aviral KumarAye, Goodness ChiomaGupta, Rangan2018-07-262019-03Tiwari, A.K., Aye, G.C., & Gupta, R., Stock market efficiency analysis using long spans of data : a multifractal detrended fluctuation approach., Finance Research Letters (2019) 28: 398-411, https://doi.org/10.1016/j.frl.2018.06.012.1544-612310.1016/j.frl.2018.06.012http://hdl.handle.net/2263/65992This paper investigates the multifractality and efficiency of stock markets in eight developed (Canada, France, Germany, Italy, Japan, Switzerland, UK and USA) and two emerging (India and South Africa) countries for which long span of data, covering over or nearly a century in each case, is available to avoid sample bias. We employ the Multifractal Detrended Fluctuation Analysis (MF-DFA) based on the generalized Hurst exponents to compare the relative efficiency between short- and long-run horizons and small and large fluctuations. Our findings show that the stock markets are multifractal and mostly long-term persistent. Most markets are more efficient in the long-term than in the short-term. The findings are robust to small and large fluctuations. Overall, although efficiency level varies over time in these markets, the markets are not weakly efficient in both short- and long-term. We draw the economic implications of these results.en© 2018 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 28, pp. 398-411, 2019. doi : 10.1016/j.frl.2018.06.012.Stock marketEfficiencyShort-termLong-termMultifractal detrended fluctuation analysis (MF-DFA)Hurst exponentPostprint Article