Modelling multifractality and efficiency of GCC stock markets using the MF-DFA approach: A comparative analysis of global, regional and Islamic markets
Atef Hamdi and
Seong-Min Yoon ()
Physica A: Statistical Mechanics and its Applications, 2018, vol. 503, issue C, 1107-1116
This paper studies the multifractality and the dynamic weak-form efficiency of five GCC stock markets, comparing them to global, Islamic and regional markets, using a Multifractal Detrended Fluctuation Analysis (MF-DFA) approach. The results show that all stock market returns exhibit multifractal features. Most importantly, we find evidence of time-varying persistence, which is higher in the short-term than in the long-term. The persistence decreases as the time scale increases. Moreover, the efficiency is sensitive to time horizons (short- and long-term). GCC stock markets are less efficient than the global, regional and Islamic markets. Our results have important policy implications for investors and portfolio managers.
Keywords: Multifractality; Time-varying efficiency; GCC; Global; Regional and Islamic stock markets; MF-DFA (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:503:y:2018:i:c:p:1107-1116
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