Article

Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets

Laura Raisa MiloşDepartment of Finance, Faculty of Economics and Business Administration, West University of Timișoara, 16 Pestalozzi Street, 300115 Timișoara, RomaniaCornel HațieganDepartament of Engineering Science, Faculty of Engineering and Management, University “Eftimie Murgu” of Resita, 1-4 Traian Vuia Square, 320085 Resita, RomaniaMarius Cristian MiloșDepartment of Finance, Faculty of Economics and Business Administration, West University of Timișoara, 16 Pestalozzi Street, 300115 Timișoara, RomaniaFlavia Mirela BarnaDepartment of Finance, Faculty of Economics and Business Administration, West University of Timișoara, 16 Pestalozzi Street, 300115 Timișoara, RomaniaClaudiu BoţocDepartment of Finance, Faculty of Economics and Business Administration, West University of Timișoara, 16 Pestalozzi Street, 300115 Timișoara, Romania

2020en

ABI

Abstract

In this paper, we present a comparative investigation of the multifractal properties of seven Central and Eastern European (CEE) stock markets using recent financial data up to August 2018 by employing seasonal and trend decompositions before applying multifractal detrended fluctuation analysis. We find that stock indices returns exhibit long-range correlations, supporting the idea that the stock markets in question are not efficient markets and have not reached a mature stage of market development. The results of the paper are of interest to investors looking for opportunities in these stock exchanges and also to policy makers in their endeavour of realizing institutional reforms in order to increase stock market efficiency and to support the sustainable growth of the financial markets.

Identifiers

DOI: 10.3390/su12020535

Citations and references

Cited by 20 references

Metrics — AkademScholar