Comparing multifractality among Czech, Hungarian and Russian stock exchanges
by Marwane El Alaoui; Saâd Benbachir
International Journal of Applied Decision Sciences (IJADS), Vol. 6, No. 4, 2013

Abstract: In this paper, we analyse multifractality among Czech, Hungarian and Russian stock exchanges. For this end we perform a method titled multifractal detrended fluctuation analysis (MF-DFA) to investigate the multifractal properties of PX, BUX and RTS indices. By applying the MF-DFA method we first calculate the generalised Hurst exponents, we then deduce the Rényi exponents as well as the singularity spectrum of these indices. Furthermore, we perform shuffling and surrogate techniques to detect the sources of multifractality. We also compute the contribution of two major sources of multifractality that are long-range temporal correlations and fat-tail distribution. This study shows that the Czech, Hungarian and Russian stock exchanges are neither efficient nor fractals, but they are multifractal markets. By comparing spectrum width of these indices, we also find which index has the richer multifractal feature.

Online publication date: Fri, 13-Sep-2013

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Applied Decision Sciences (IJADS):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?


Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com