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

Laura Raisa Miloş, Cornel Haţiegan, Marius Cristian Miloş, Flavia Mirela Barna and Claudiu Boțoc
Additional contact information
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

Sustainability, 2020, vol. 12, issue 2, 1-15

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.

Keywords: econophysics; MF-DFA; long-range dependency; generalized Hurst exponent; market efficiency; sustainable development; stock markets (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

Downloads: (external link)
https://www.mdpi.com/2071-1050/12/2/535/pdf (application/pdf)
https://www.mdpi.com/2071-1050/12/2/535/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:12:y:2020:i:2:p:535-:d:307486

Access Statistics for this article

Sustainability is currently edited by Ms. Alexandra Wu

More articles in Sustainability from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().