Multifractality in stock indexes: Fact or Fiction?

Zhi-Qiang Jiang and Wei-Xing Zhou

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 14, 3605-3614

Abstract: Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P 500, and NASDAQ) to check whether the indexes (instead of the returns) possess multifractality. We find that the mass exponent τ(q) is linear and the singularity α(q) is close to 1 for all trading days and all indexes. Furthermore, we find strong evidence showing that the scaling behaviors of the original data sets cannot be distinguished from those of shuffled time series. Hence, the so-called multifractality in the intraday stock market indexes is merely an illusion.

Keywords: Econophysics; Multifractal analysis; Partition function approach; Bootstrapping; Stock markets (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (53)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:14:p:3605-3614

DOI: 10.1016/j.physa.2008.02.015

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