Multifractal structures for the Russian stock market

Taro Ikeda

Physica A: Statistical Mechanics and its Applications, 2018, vol. 492, issue C, 2123-2128

Abstract: In this paper, we apply the multifractal detrended fluctuation analysis (MFDFA) to the Russian stock price returns. To the best of our knowledge, this paper is the first to reveal the multifractal structures for the Russian stock market by financial crises. The contributions of the paper are twofold. (i) Finding the multifractal structures for the Russian stock market. The generalized Hurst exponents estimated become highly-nonlinear to the order of the fluctuation functions. (ii) Computing the multifractality degree according to Zunino et al. (2008). We find that the multifractality degree of the Russian stock market can be categorized within emerging markets, however, the Russian 1998 crisis and the global financial crisis dampen the degree when we consider the order of the polynomial trends in the MFDFA.

Keywords: Multifractal analysis; Russian stock market; Financial crisis (search for similar items in EconPapers)
JEL-codes: C18 E39 G14 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:492:y:2018:i:c:p:2123-2128

DOI: 10.1016/j.physa.2017.11.129

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