Asymmetric multifractal cross-correlations and time varying features between Latin-American stock market indices and crude oil market

Gabriel Gajardo and Werner Kristjanpoller

Chaos, Solitons & Fractals, 2017, vol. 104, issue C, 121-128

Abstract: We apply MF-ADCCA to analyze the presence and asymmetry of the cross-correlations between Latin-American and US stock market indices and crude oil market. We find that multifractality exists in this cross-correlations, and that there is asymmetry on its behavior. The asymmetry degree changes accordingly to the series considered for the trend behavior. We find that fluctuation sizes greatly influence the asymmetry in the cross-correlation exponent, increasing for large fluctuations when we consider the trend of the crude oil price. We also find no clear differences in the exponents with different scales under different trends of the WTI, contrary to other studies in asymmetric scaling behavior. When we examine the time varying features of the asymmetry degree we find that the US indices show a consistent behavior in time for both trends, where the cross-correlation exponents tend to be larger for downward trends. On the other hand, given the more heterogeneous individual properties of Latin-American indices, the asymmetry behavior varies more depending on the trend considered.

Keywords: Multifractality; Asymmetric cross-correlations; Time-series analysis; Latin-American stock markets; Crude oil market (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:104:y:2017:i:c:p:121-128

DOI: 10.1016/j.chaos.2017.08.007

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