Investigation of multifractality in the Brazilian stock market
Natália Diniz Maganini,
Antônio Carlos Da Silva Filho and
Fabiano Guasti Lima
Physica A: Statistical Mechanics and its Applications, 2018, vol. 497, issue C, 258-271
Many studies point to a possible new stylized fact for financial time series: the multifractality. Several authors have already detected this characteristic in multiple time series in several countries. With that in mind and based on Multifractal Detrended Fluctuation Analysis (MFDFA) method, this paper analyzes the multifractality in the Brazilian market. This analysis is performed with daily data from IBOVESPA index (Brazilian stock exchange’s main index) and other four highly marketable stocks in the Brazilian market (VALE5, ITUB4, BBDC4 and CIEL3), which represent more than 25% of the index composition, making up 1961 observations for each asset in the period from June 26 2009 to May 31 2017. We found that the studied stock prices and Brazilian index are multifractal, but that the multifractality degree is not the same for all the assets. The use of shuffled and surrogated series indicates that for the period and the actions considered the long-range correlations do not strongly influence the multifractality, but the distribution (fat tails) exerts a possible influence on IBOVESPA and CIEL3.
Keywords: MFDFA; Multifractals; Brazilian market (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:497:y:2018:i:c:p:258-271
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