Multifractal detrended cross-correlation analysis in the MENA area

Marwane El Alaoui and Saâd Benbachir

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 23, 5985-5993

Abstract: In this paper, we investigated multifractal cross-correlations qualitatively and quantitatively using a cross-correlation test and the Multifractal detrended cross-correlation analysis method (MF-DCCA) for markets in the MENA area. We used cross-correlation coefficients to measure the level of this correlation. The analysis concerns four stock market indices of Morocco, Tunisia, Egypt and Jordan. The countries chosen are signatory of the Agadir agreement concerning the establishment of a free trade area comprising Arab Mediterranean countries. We computed the bivariate generalized Hurst exponent, Rényi exponent and spectrum of singularity for each pair of indices to measure quantitatively the cross-correlations. By analyzing the results, we found the existence of multifractal cross-correlations between all of these markets. We compared the spectrum width of these indices; we also found which pair of indices has a strong multifractal cross-correlation.

Keywords: Cross-correlation; Multifractality; Multifractal detrended cross-correlation; MENA markets (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:23:p:5985-5993

DOI: 10.1016/j.physa.2013.08.002

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