Multifractal behavior of the Korean stock-market index KOSPI

Jae Woo Lee, Kyoung Eun Lee and Per Arne Rikvold

Physica A: Statistical Mechanics and its Applications, 2006, vol. 364, issue C, 355-361

Abstract: We investigate multifractality in the Korean stock-market index KOSPI. The generalized qth order height–height correlation function shows multiscaling properties. There are two scaling regimes with a crossover time around tc=40min. We consider the original data sets and the modified data sets obtained by removing the daily jumps, which occur due to the difference between the closing index and the opening index. To clarify the origin of the multifractality, we also smooth the data through convolution with a Gaussian function. After convolution we observe that the multifractality disappears in the short-time scaling regime ttc, regardless of whether or not the daily jumps are removed. We suggest that multifractality in the short-time scaling regime is caused by the local fluctuations of the stock index. But the multifractality in the long-time scaling regime appears to be due to the intrinsic trading properties, such as herding behavior, information outside the market, the long memory of the volatility, and the nonlinear dynamics of the stock market.

Keywords: Econophysics; Multiscaling; Multifractal; Stock market (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:364:y:2006:i:c:p:355-361

DOI: 10.1016/j.physa.2005.08.082

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