Multifractal characterization of Brazilian market sectors
Paulo S.G. de Mattos Neto and
Physica A: Statistical Mechanics and its Applications, 2019, vol. 525, issue C, 956-964
We study auto correlations and cross correlations of daily price returns for seven Brazilian market (Bovespa) sectors using multifractal detrended fluctuation analysis (MF-DFA) and multifractal detrended cross correlation analysis (MF-DXA). We discover rather distinct multifractal behavior for different market sectors, which indicates that individual sectors follow different dynamics from the entire market. Our analysis reveals that most sectors are market efficient due to the lack of long term correlations. Shuffling the series suggests that multifractality in the auto correlations arises both from a broad probability density function and from different long term correlations. Comparisons of multifractal cross correlations between Bovespa and market sectors reveals that some sectors are more affected by multifractality of the entire market, while others are more affected by multifractality of the sectors themselves. A multifractal analysis of cross correlations between different market sectors provides a multifractal description of the Brazilian sectors.
Keywords: Sector indices; Brazilian market; Multifractal detrended fluctuation analysis; Multifractal detrended cross-correlation analysis (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:525:y:2019:i:c:p:956-964
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