Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA

Minhyuk Lee, Jae Wook Song, Ji Hwan Park and Woojin Chang

Chaos, Solitons & Fractals, 2017, vol. 97, issue C, 28-38

Abstract: We detect the asymmetric multi-fractality in the U.S. stock indices based on the asymmetric multi-fractal detrended fluctuation analysis (A-MFDFA). Instead using the conventional return-based approach, we propose the index-based model of A-MFDFA where the trend based on the evolution of stock index rather than stock price return plays a role for evaluating the asymmetric scaling behaviors. The results show that the multi-fractal behaviors of the U.S. stock indices are asymmetric and the index-based model detects the asymmetric multi-fractality better than return-based model. We also discuss the source of multi-fractality and its asymmetry and observe that the multi-fractal asymmetry in the U.S. stock indices has a time-varying feature where the degree of multi-fractality and asymmetry increase during the financial crisis.

Keywords: Asymmetric multi-fractality; A-MFDFA; Stock indices; Return trend; Index trend (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:97:y:2017:i:c:p:28-38

DOI: 10.1016/j.chaos.2017.02.001

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