Year: 2012
Type: article
Abstract: 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.
Source: PLoS ONE
Author: Petre Caraiani
Institution: Romanian Academy
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $2,382
Funder: European Social Fund
OpenAlex ID: W2139718369