Evidence of multifractality from emerging European stock markets.

Evidence of multifractality from emerging European stock markets.

We test for the presence of multifractality in the daily returns of the three most important stock market indices from Central and Eastern Europe, Czech PX, Hungarian BUX and Polish WIG using the Empirical Mode Decomposition based Multifractal Detrended Fluctuation Analysis. We found that the global...

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Autor principal: Petre Caraiani
Formato: article
Lenguaje:EN
Publicado: Public Library of Science (PLoS) 2012
Materias:
Medicine
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Science
Q
Acceso en línea:https://doaj.org/article/99f1423315f94afa98ac64abcbd4cfd0
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spelling oai:doaj.org-article:99f1423315f94afa98ac64abcbd4cfd02021-11-18T07:12:15ZEvidence of multifractality from emerging European stock markets.1932-620310.1371/journal.pone.0040693https://doaj.org/article/99f1423315f94afa98ac64abcbd4cfd02012-01-01T00:00:00Zhttps://www.ncbi.nlm.nih.gov/pmc/articles/pmid/22815792/?tool=EBIhttps://doaj.org/toc/1932-6203We test for the presence of multifractality in the daily returns of the three most important stock market indices from Central and Eastern Europe, Czech PX, Hungarian BUX and Polish WIG using the Empirical Mode Decomposition based Multifractal Detrended Fluctuation Analysis. We found that the global Hurst coefficient varies with the q coefficient and that there is multifractality evidenced through the multifractal spectrum. The exercise is replicated for the sample around the high volatility period corresponding to the last global financial crisis. Although no direct link has been found between the crisis and the multifractal spectrum, the crisis was found to influence the overall shape as quantified through the norm of the multifractal spectrum.Petre CaraianiPublic Library of Science (PLoS)articleMedicineRScienceQENPLoS ONE, Vol 7, Iss 7, p e40693 (2012)
institution DOAJ
collection DOAJ
language EN
topic Medicine
R
Science
Q
spellingShingle Medicine
R
Science
Q
Petre Caraiani
Evidence of multifractality from emerging European stock markets.
description We test for the presence of multifractality in the daily returns of the three most important stock market indices from Central and Eastern Europe, Czech PX, Hungarian BUX and Polish WIG using the Empirical Mode Decomposition based Multifractal Detrended Fluctuation Analysis. We found that the global Hurst coefficient varies with the q coefficient and that there is multifractality evidenced through the multifractal spectrum. The exercise is replicated for the sample around the high volatility period corresponding to the last global financial crisis. Although no direct link has been found between the crisis and the multifractal spectrum, the crisis was found to influence the overall shape as quantified through the norm of the multifractal spectrum.
format article
author Petre Caraiani
author_facet Petre Caraiani
author_sort Petre Caraiani
title Evidence of multifractality from emerging European stock markets.
title_short Evidence of multifractality from emerging European stock markets.
title_full Evidence of multifractality from emerging European stock markets.
title_fullStr Evidence of multifractality from emerging European stock markets.
title_full_unstemmed Evidence of multifractality from emerging European stock markets.
title_sort evidence of multifractality from emerging european stock markets.
publisher Public Library of Science (PLoS)
publishDate 2012
url https://doaj.org/article/99f1423315f94afa98ac64abcbd4cfd0
work_keys_str_mv AT petrecaraiani evidenceofmultifractalityfromemergingeuropeanstockmarkets
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