Multifractal analysis of Indian public sector enterprises

S. Charutha, M. Gopal Krishna and P. Manimaran

Physica A: Statistical Mechanics and its Applications, 2020, vol. 557, issue C

Abstract: In this paper, we apply the methods, Multifractal Detrended Fluctuation Analysis (MF-DFA) and Multifractal Detrended Cross-Correlation Analysis (MF-DXA) to study the auto correlation/cross-correlation behaviour and multifractal characteristics on twenty three stock market indices of Department of Public Enterprises (DPE), India. The auto correlation and cross-correlation have been measured from the Hurst scaling exponents and the singularity spectrum quantitatively. From the calculated power law scaling exponents we observe the volume and price-volume change time series possess strong anti-persistent behaviour. The price change of different time series shows persistent, stochastic and anti-persistent behaviour. We also observe the existence of multifractal characteristics in all price, volume and price-volume change time series. The price changes in the time series shows high complexity compared to volume and cross correlated price-volume.

Keywords: Time series; Multifractal; Cross-correlation; Price change; Volume change (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:557:y:2020:i:c:s0378437120304568

DOI: 10.1016/j.physa.2020.124881

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