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Dynamic efficiency of European credit sectors: A rolling-window multifractal detrended fluctuation analysis

Chaker Aloui, Syed Jawad Hussain Shahzad () and Rania Jammazi

Physica A: Statistical Mechanics and its Applications, 2018, vol. 506, issue C, 337-349

Abstract: In this paper, we explore the market efficiency hypothesis for 22 European credit market sectors using the multi fractal detrended fluctuation approach (MF-DFA). The market efficiency of the credit market sectors is compare in short- and long-run horizons and for small and large fluctuations. The time-variations in the market efficiency level are captured by adopting a rolling-window framework of MF-DFA. We find that all the Eurozone credit market sectors are multifractal in nature and that credit sectors are marked by a persistent long memory phenomenon in their short- and long-term components. Furthermore, market efficiency levels are time-varying for both short- and long-term horizons and significantly change under crisis and non-crisis scenarios. Our findings render the generally adopted full sample MF-DFA results less reliable.

Keywords: MF-DFA; Credit markets; Long memory; Anti-persistence (search for similar items in EconPapers)
Date: 2018
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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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