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Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets

Author

Listed:
  • Laura Raisa Miloş

    (Department of Finance, Faculty of Economics and Business Administration, West University of Timișoara, 16 Pestalozzi Street, 300115 Timișoara, Romania)

  • Cornel Haţiegan

    (Departament of Engineering Science, Faculty of Engineering and Management, University “Eftimie Murgu” of Resita, 1-4 Traian Vuia Square, 320085 Resita, Romania)

  • Marius Cristian Miloş

    (Department of Finance, Faculty of Economics and Business Administration, West University of Timișoara, 16 Pestalozzi Street, 300115 Timișoara, Romania)

  • Flavia Mirela Barna

    (Department of Finance, Faculty of Economics and Business Administration, West University of Timișoara, 16 Pestalozzi Street, 300115 Timișoara, Romania)

  • Claudiu Boțoc

    (Department of Finance, Faculty of Economics and Business Administration, West University of Timișoara, 16 Pestalozzi Street, 300115 Timișoara, Romania)

Abstract

In this paper, we present a comparative investigation of the multifractal properties of seven Central and Eastern European (CEE) stock markets using recent financial data up to August 2018 by employing seasonal and trend decompositions before applying multifractal detrended fluctuation analysis. We find that stock indices returns exhibit long-range correlations, supporting the idea that the stock markets in question are not efficient markets and have not reached a mature stage of market development. The results of the paper are of interest to investors looking for opportunities in these stock exchanges and also to policy makers in their endeavour of realizing institutional reforms in order to increase stock market efficiency and to support the sustainable growth of the financial markets.

Suggested Citation

  • Laura Raisa Miloş & Cornel Haţiegan & Marius Cristian Miloş & Flavia Mirela Barna & Claudiu Boțoc, 2020. "Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets," Sustainability, MDPI, vol. 12(2), pages 1-15, January.
    • Handle: RePEc:gam:jsusta:v:12:y:2020:i:2:p:535-:d:307486
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