Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
977653 | Physica A: Statistical Mechanics and its Applications | 2008 | 9 Pages |
Abstract
In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model to test the relationship between the stage of market development and the multifractality degree and find robust evidence that the relationship is negative, i.e., higher multifractality is associated with a less developed market. Thus, an inefficiency ranking can be derived from multifractal analysis. Finally, a link with previous volatility time series results is established.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
L. Zunino, B.M. Tabak, A. Figliola, D.G. Pérez, M. Garavaglia, O.A. Rosso,