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Multifractal structures for the Russian stock market

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  • Ikeda, Taro

Abstract

In this paper, we apply the multifractal detrended fluctuation analysis (MFDFA) to the Russian stock price returns. To the best of our knowledge, this paper is the first to reveal the multifractal structures for the Russian stock market by financial crises. The contributions of the paper are twofold. (i) Finding the multifractal structures for the Russian stock market. The generalized Hurst exponents estimated become highly-nonlinear to the order of the fluctuation functions. (ii) Computing the multifractality degree according to Zunino et al. (2008). We find that the multifractality degree of the Russian stock market can be categorized within emerging markets, however, the Russian 1998 crisis and the global financial crisis dampen the degree when we consider the order of the polynomial trends in the MFDFA.

Suggested Citation

  • Ikeda, Taro, 2018. "Multifractal structures for the Russian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 2123-2128.
    • Handle: RePEc:eee:phsmap:v:492:y:2018:i:c:p:2123-2128
    DOI: 10.1016/j.physa.2017.11.129
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    Citations

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    Cited by:

    1. Samuel T. Ogunjo, 2023. "The impact of the 2007–2008 global financial crisis on the multifractality of the Nigerian Stock Exchange," SN Business & Economics, Springer, vol. 3(1), pages 1-17, January.
    2. Oumou Kalsoum Diallo & Pierre Mendy, 2019. "Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from WAEMU Market Index," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 5(1), pages 1-23, June.
    3. Laib, Mohamed & Golay, Jean & Telesca, Luciano & Kanevski, Mikhail, 2018. "Multifractal analysis of the time series of daily means of wind speed in complex regions," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 118-127.
    4. Gu, Danlei & Huang, Jingjing, 2019. "Multifractal detrended fluctuation analysis on high-frequency SZSE in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 225-235.
    5. Memon, Bilal Ahmed & Yao, Hongxing & Naveed, Hafiz Muhammad, 2022. "Examining the efficiency and herding behavior of commodity markets using multifractal detrended fluctuation analysis. Empirical evidence from energy, agriculture, and metal markets," Resources Policy, Elsevier, vol. 77(C).

    More about this item

    Keywords

    Multifractal analysis; Russian stock market; Financial crisis;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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