Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?

Ayşegül İşcanoğlu-Çekiç and Havva Gülteki̇n

Physica A: Statistical Mechanics and its Applications, 2019, vol. 525, issue C, 978-990

Abstract: The analysis of linkages between financial markets has been a promising subject of study after globalization. Main consequence of these linkages is on transmission of the crisis from one country to another. Therefore, identifying and modeling of those linkages are important issues in the analysis of financial markets. According to studies the cross-correlations present nonlinear behavior and in general the well-known methods fail to predict such correlations. In this paper, we aim to show the existence of nonlinear cross-correlations between Turkish Stock Exchange and major developed country indices. For this purpose, we use the Multifractal Detrending Moving-Average Cross-correlation Analysis (MF-X-DMA) which is designed for detecting long-range power-law correlations. In the analysis we use the daily financial return and volatility series of Turkish stock market index BIST100 and developed market indexes which are S&P500, DAX30, FTSE100 for a period of 11 years between 01/01/2007-01/01/2018. The results show the existence of multifractality and long-range power-law cross-correlations.

Keywords: MF-X-DMA; Cross-correlations; Multifractality; Power-law; BIST100; S&P500; DAX30; FTSE100 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:525:y:2019:i:c:p:978-990

DOI: 10.1016/j.physa.2019.03.074

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