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

Citations

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Cited by:

  1. Onur Özdemir & Anoop S. Kumar, 2024. "Dynamic Efficiency and Herd Behavior During Pre- and Post-COVID-19 in the NFT Market: Evidence from Multifractal Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 1255-1279, March.
  2. Nurulkamal Masseran, 2022. "Multifractal Characteristics on Temporal Maximum of Air Pollution Series," Mathematics, MDPI, vol. 10(20), pages 1-15, October.
  3. Ioannis P. Antoniades & Giuseppe Brandi & L. G. Magafas & T. Di Matteo, 2020. "The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool," Papers 2010.08890, arXiv.org, revised Dec 2020.
  4. Yao, Can-Zhong & Mo, Yi-Na & Zhang, Ze-Kun, 2021. "A study of the efficiency of the Chinese clean energy stock market and its correlation with the crude oil market based on an asymmetric multifractal scaling behavior analysis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  5. 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.
  6. Wang, Jian & Huang, Menghao & Wu, Xinpei & Kim, Junseok, 2023. "A local fitting based multifractal detrend fluctuation analysis method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).
  7. Chandra, Aitichya & Verma, Ashish & Sooraj, K.P. & Padhi, Radhakant, 2023. "Modelling and assessment of the arrival and departure process at the terminal area: A case study of Chennai international airport," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
  8. Onur Özdemir & Selin Yalçıntaş, 2026. "Herd investing and market inefficiency in forex markets over the COVID-19 outbreak: the multifractality analysis," SN Business & Economics, Springer, vol. 6(3), pages 1-35, March.
  9. Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurrum S. & Khan, Maaz, 2020. "On the efficiency of foreign exchange markets in times of the COVID-19 pandemic," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
  10. Sierra-Porta, D., 2024. "A multifractal approach to understanding Forbush Decrease events: Correlations with geomagnetic storms and space weather phenomena," Chaos, Solitons & Fractals, Elsevier, vol. 185(C).
  11. Shi, Zongbei & Zhao, Mo & He, Min & Xue, Yichen & Yan, Jiajie & Wang, Xinglong, 2025. "Multifractal and informational analysis of air traffic flow: A case in mainland China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 677(C).
  12. Zhuang, Xiaoyang & Wei, Dan, 2022. "Asymmetric multifractality, comparative efficiency analysis of green finance markets: A dynamic study by index-based model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  13. Katarzyna Czech & Łukasz Pietrych, 2021. "The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches," Risks, MDPI, vol. 9(8), pages 1-17, August.
  14. Zhang, Lulu & Shi, Qi & Zhou, Ning, 2024. "The influence of grain futures market on stock price fluctuation of agricultural listed companies," Finance Research Letters, Elsevier, vol. 59(C).
  15. NUHIU Artor & ALIU Florin & ALIU Fisnik & HOTI Arbër, 2023. "Measuring Market Efficiency Through Valuation Techniques: The Case Of Visegrad Countries Stock Markets," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 18(1), pages 198-217, April.
  16. Mabruk Billah & Mohammad Enamul Hoque & Ghadeer Kayal, 2025. "Multifractal analysis of GCC banking stock efficiency dynamics: impact of financial stress, economic policy uncertainty, and geopolitical factors," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 15(3), pages 641-686, September.
  17. 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).
  18. Shrestha, Keshab & Naysary, Babak & Philip, Sheena Sara Suresh, 2023. "Fintech market efficiency: A multifractal detrended fluctuation analysis," Finance Research Letters, Elsevier, vol. 54(C).
  19. Suchetana Sadhukhan & Poulomi Sadhukhan, 2022. "Sector-wise analysis of Indian stock market: Long and short-term risk and stability analysis," Papers 2210.09619, arXiv.org.
  20. Farhang Rahmani & Mohammad Hadi Fattahi, 2021. "A multifractal cross-correlation investigation into sensitivity and dependence of meteorological and hydrological droughts on precipitation and temperature," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 109(3), pages 2197-2219, December.
  21. Xunfa Lu & Huanhuan Yan & Pengchao He & Nicholas Apergis, 2025. "Multifractal relationship between decomposed oil price shocks and trading volume," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-16, December.
  22. Antoniades, I.P. & Brandi, Giuseppe & Magafas, L. & Di Matteo, T., 2021. "The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  23. Panos Fousekis & Dimitra Tzaferi, 2022. "Price multifractality and informational efficiency in the futures markets of the US soybean complex," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 68-84.
  24. Evgeniya Gospodinova & Penio Lebamovski & Galya Georgieva-Tsaneva & Galina Bogdanova & Diana Dimitrova, 2022. "Methods for Mathematical Analysis of Simulated and Real Fractal Processes with Application in Cardiology," Mathematics, MDPI, vol. 10(19), pages 1-16, September.
  25. Aslam, Faheem & Zil-e-huma, & Bibi, Rashida & Ferreira, Paulo, 2022. "Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysis," Resources Policy, Elsevier, vol. 75(C).
  26. Anindita Bhattacharjee & Monomita Nandy & Suman Lodh, 2025. "COVID-19 and persistence in the stock market: a study on a leading emerging market," International Journal of Disclosure and Governance, Palgrave Macmillan, vol. 22(2), pages 520-531, June.
  27. Deniz Erer & Elif Erer & Selim Güngör, 2023. "The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.
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