Modelling multifractality and efficiency of GCC stock markets using the MF-DFA approach: A comparative analysis of global, regional and Islamic markets

This paper studies the multifractality and the dynamic weak-form efficiency of five GCC stock markets, comparing them to global, Islamic and regional markets, using a Multifractal Detrended Fluctuation Analysis (MF-DFA) approach. The results show that all stock market returns exhibit multifractal features. Most importantly, we find evidence of time-varying persistence, which is higher in the short-term than in the long-term. The persistence decreases as the time scale increases. Moreover, the efficiency is sensitive to time horizons (short- and long-term). GCC stock markets are less efficient than the global, regional and Islamic markets. Our results have important policy implications for investors and portfolio managers.