Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
11004925 | Physica A: Statistical Mechanics and its Applications | 2018 | 10 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Walid Mensi, Atef Hamdi, Seong-Min Yoon,