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The footprints of COVID-19 on Central Eastern European stock markets : an intraday analysis

Aslam, Faheem; Nogueiro, Francisca; Brasil, Mariana; … - In: Post-communist economies 33 (2021) 6, pp. 751-769

Persistent link: https://www.econbiz.de/10012609486

Time evolution of market efficiency and multifractality of the Japanese stock market

Takaishi, Tetsuya - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-12

anti-persistence around the year 2000, which still persists. The degree of multifractality varies over time and does not …

Persistent link: https://www.econbiz.de/10012814029

Herding behavior during the Covid-19 pandemic : a comparison between Asian and European stock markets based on intraday multifractality

Aslam, Faheem; Ferreira, Paulo; Ali, Haider; Kauser, Sumera - In: Eurasian economic review : a journal in applied … 12 (2022) 2, pp. 333-359

Persistent link: https://www.econbiz.de/10013263377

Multifractal analysis of realized volatilities in Chinese stock market

Liu, Yufang; Zhang, Weiguo; Fu, Junhui; Wu, Xiang - In: Computational economics 56 (2020) 2, pp. 319-336

Persistent link: https://www.econbiz.de/10012272033

Probability distribution function and multiscaling properties in the Korean stock market

Lee, Kyoung Eun; Lee, Jae Woo - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 65-70

, the traded volume, and changes of the traded volume. We also investigate the multifractality in the Korean stock market …. We consider the multifractality by the detrended fluctuation analysis (MFDFA). We observed the multiscaling behaviors for … series to observe the effects of the autocorrelations. The multifractality is strongly originated from the long time …

Persistent link: https://www.econbiz.de/10010871852

Financial earthquakes, aftershocks and scaling in emerging stock markets

Selçuk, Faruk - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 306-316

This paper provides evidence for scaling laws in emerging stock markets. Estimated parameters using different definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to 240 business days (almost 1 year). The scaling...

Persistent link: https://www.econbiz.de/10010872069

An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets

Mensi, Walid; Tiwari, Aviral Kumar; Al-Yahyaee, Khamis Hamed - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 168-177

Persistent link: https://www.econbiz.de/10012176113

Islamic vs. conventional equity markets : a multifractal cross-correlation analysis with economic policy uncertainty

Aslam, Faheem; Ferreira, Paulo; Ali, Haider; Arifa; … - In: Economies : open access journal 11 (2023) 1, pp. 1-18

perspective of multifractality. Daily stock market prices of five main countries are considered: US, Thailand, Indonesia, Pakistan …

Persistent link: https://www.econbiz.de/10013500735