Article thumbnail

Multifractality in stock indexes: Fact or fiction?

By Zhi-qiang Jiang A and Wei-xing Zhou A

Abstract

Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P500, and NASDAQ) to check whether the indexes (instead of the returns) possess multifractality. We find that the mass exponent τ(q) is linear and the singularity α(q) is close to 1 for all trading days and all indexes. Furthermore, we find strong evidence showing that the scaling behaviors of the original data sets cannot be distinguished from those of the shuffled time series. Hence, the so-called multifractality in the intraday stock market indexes is merely an illusion

Topics: Key words, Econophysics, Multifractal analysis, Bootstrapping, Stock markets
OAI identifier: oai:CiteSeerX.psu:10.1.1.250.7609
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://arxiv.org/pdf/0706.2140... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.