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A Multifractal Detrended Fluctuation Analysis of the Moroccan Stock Exchange

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  • Benbachir, Saâd
  • El Alaoui, Marwane

Abstract

We perform the Multifractal Detrended Fluctuation Analysis (MF-DFA) method to investigate the multifractal properties of the Moroccan All Shared Index (MASI) and the Moroccan Most Active Shares Index (MADEX) from the Casablanca Stock Exchange (CSE). By applying the MF-DFA method we first calculate the generalized Hurst exponents and we then deduce the Rényi exponents as well asthe singularity spectrum of the MASI and MADEX indices. Furthermore, we perform the shuffling and the phaserandomization techniques to detect the sources of the multifractality. We show that there are two major sources of multifractality, the long-range temporal correlations and the fattail distribution. We show notably that the first source contributes mainly to the multifractality of MASI index while the two sources contribute almost equally to the multifractality of the MADEX index. By comparing the multifractal behavior of the MASI and MADEX indices we find finally that the first one exhibits a richer multifractal feature than the second one. This permits us to conclude that the greater is the stock market the more complex is the dynamics of the stock market index representing all of the market, which is traduced by richer multifractal behavior of this index. This study leads to the principal conclusion that the Casablanca Stock Exchange is characterized by a multifractal behavior.

Suggested Citation

  • Benbachir, Saâd & El Alaoui, Marwane, 2011. "A Multifractal Detrended Fluctuation Analysis of the Moroccan Stock Exchange," MPRA Paper 49003, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:49003
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    6. Yan, Ruzhen & Yue, Ding & Chen, Xudong & Wu, Xu, 2020. "Non-linear characterization and trend identification of liquidity in China's new OTC stock market based on multifractal detrended fluctuation analysis," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
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    8. 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.
    9. Chatterjee, Sucharita & Ghosh, Dipak, 2021. "Impact of Global Warming on SENSEX fluctuations — A study based on Multifractal detrended cross correlation analysis between the temperature anomalies and the SENSEX fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 571(C).
    10. Martin Magris & Jiyeong Kim & Esa Rasanen & Juho Kanniainen, 2017. "Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis," Papers 1711.03534, arXiv.org.
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    More about this item

    Keywords

    Multifractality; Generalized Hurst exponent; Rényi exponent; Singularity spectrum;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G1 - Financial Economics - - General Financial Markets

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