In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model to test the relationship between the stage of market development and the multifractality degree and find robust evidence that the relationship is negative, i.e., higher multifractality is associated with a less developed market. Thus, an inefficiency ranking can be derived from multifractal analysis. Finally, a link with previous volatility time series results is established.
|Number of pages||9|
|Journal||Physica A: Statistical Mechanics and its Applications|
|State||Published - 15 Nov 2008|
- Multifractal detrended fluctuation analysis
- Multifractality degree
- Stock market inefficiency