Economics at your fingertips  

The complexity of the HANG SENG Index and its constituencies during the 2007–2008 Great Recession

G. Argyroudis and F. Siokis

Physica A: Statistical Mechanics and its Applications, 2018, vol. 495, issue C, 463-474

Abstract: We apply the multifractal detrended moving average (MF-DMA) procedure to the daily data from HANG SENG Index (HSI) and two sub-indices, the Properties Index which consists of 10 Real Estate Companies and the Finance Index with 12 companies respectively. Two major events are considered: the 2007 and the 1997 crises. Based on scaling exponents and the singularity spectrum analysis, we show that both events reveal multiscaling and the results are robust across different indices. Furthermore, by dividing the data into two equal sub-samples for prior and after the crisis periods, we reveal that for the 2007–2008 crisis, the complexity of the HSI and Properties index remain the same between periods, while for the Finance Index, the after crisis period exhibits richer multifractality and higher complexity. Especially for the Properties Index, the results indicate that the Real Estate sector was not affected as much, by the transitory shocks of the Great Recession. As for the 1997 event, the HS Index is impacted greatly in the after period crisis exhibiting higher degree of multifractality and heterogeneity.

Keywords: Multifractal detrended moving average; Financial crisis; Multifractality; Complexity (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Series data maintained by Dana Niculescu ().

Page updated 2018-02-24
Handle: RePEc:eee:phsmap:v:495:y:2018:i:c:p:463-474