The impact of the 2007–2008 global financial crisis on the multifractality of the Nigerian Stock Exchange

Samuel T. Ogunjo ()
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Samuel T. Ogunjo: Federal University of Technology Akure

SN Business & Economics, 2023, vol. 3, issue 1, 1-17

Abstract: Abstract The efficiency of stock markets in different regions of the world has been investigated using multifractal formalism, but little attention has been paid to developing markets like Nigeria. In this paper, the multifractal detrended fluctuation analysis of closing prices of stocks across different sectors of the Nigerian stock exchange was conducted during the period between January 2000 and November 2015. The results obtained showed multifractal behaviour of the stocks driven by long-range correlations and fat tail distributions. The generalized Hurst exponent revealed anti-persistence behaviour across all the stocks with $$h(2)

Keywords: Multifractal detrended fluctuation analysis; Nigerian Stock Exchange; Generalized Hurst exponent; Stock market (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s43546-022-00414-z

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