Unifractality and multifractality in the Italian stock market

International Review of Financial Analysis

Volumn 18, Issue 4, 2009, Pages 154-163

  Onali, Enrico ^a   Goddard, John ^a  

^a BANGOR UNIVERSITY   (United Kingdom)

Author keywords

Italy; Multifractality; Random walk; Stock market; Unifractality

Indexed keywords

EID: 69249202477     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2009.05.001     Document Type: Article

References (61)

1. Alvarez-Ramirez J., Cisneros M., Ibarra-Valdez C., and Soriano A. Multifractal Hurst analysis of crude oil prices. Physica A 313 (2002) 651-670
2. Ané T., and Ureche-Rangau L. Does trading volume really explain stock returns volatility?. Journal of International Financial Markets, Institutions, and Money 18 (2008) 216-235
3. Anis A.A., and Lloyd E.H. The expected value of the adjusted rescaled Hurst range of independent normal summands. Biometrika 63 (1976) 111-116
4. Ayadi O.F., and Pyun C.S. An application of variance ratio test to the Korean securities market. Journal of Banking and Finance 18 (1994) 643-658
5. Baillie R., Bollerslev T., and Mikkessen H. Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 74 (1996) 3-30
6. Barone E. The Italian stock market efficiency and calendar anomalies. Journal of Banking and Finance 14 (1990) 483-510
7. Blasco N., Del Rio C., and Santamaria R. The random walk hypothesis in the Spanish stock market: 1980-1992. Journal of Business Finance and Accounting 24 5 (1997) 667-683
8. Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31 (1986) 307-327
9. Cajueiro D.O., and Tabak B.M. Ranking efficiency for emerging markets. Chaos, Solitons and Fractals 22 (2004) 349-352
10. Cajueiro D.O., and Tabak B.M. Ranking efficiency for emerging equity markets II. Chaos, Solitons and Fractals 23 (2005) 671-675
11. Cajueiro D.O., and Tabak B.M. Long range dependence and multifractality in the term structure of LIBOR interest rates. Physica A 373 (2007) 603-614
12. Calvet L., and Fisher A. Multifractality in asset returns: Theory and evidence. The Review of Economics and Statistics 84 3 (2002) 381-406
13. Cheung Y.W., and Lai K.S. Do gold market returns have long memory?. The Financial Review 28 2 (1993) 181-202
14. Cheung Y.W., and Lai K.S. A search for long memory in international stock market returns. Journal of International Money and Finance 14 4 (1995) 597-615
15. Costa R.L., and Vasconcelos G.L. Long-range correlations and nonstationarity in the Brazilian stock market. Physica A 329 (2003) 231-248
16. Di Matteo T., Aste T., and Dacorogna M.M. Scaling behaviour in differently developed markets. Physica A 324 (2003) 183-188
17. Eisler Z., and Kertesz J. Multifractal model of asset returns with leverage effect. Physica A 343 (2004) 603-622
18. Fama E.F. Efficient capital markets: A review of theory and empirical work. Journal of Finance (1970) 383-417
19. Fama E.F., Fisher L., Jensen M.C., and Roll R. The adjustment of stock prices to new information. International Economic Review 10 (1969) 1-21
20. Feller W. The asymptotic distribution of the range of sums of independent random variables. The Annals of Mathematical Statistics 22 (1951) 427-432
21. Fisher A., Calvet L., and Mandelbrot B. Multifractality of Deutschemark/US dollar exchange rates. Yale University, Cowles Foundation Discussion Paper #1166 (1997)
22. Frennberg P., and Hansson B. Testing the random walk hypothesis on Swedish stock prices: 1919-1990. Journal of Banking and Finance 17 (1993) 175-191
23. Granger C. Long memory relationships and the aggregation of dynamic models. Journal of Econometrics 14 (1980) 227-238
24. Grech D., and Pamula G. The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market. Physica A 387 (2008) 4299-4308
25. Greene M.T., and Fielitz B.D. Long-term dependence in common stock returns. Journal of Financial Economics 4 (1977) 339-349
26. Groenewold N., Tang S.H.K., and Wu Y. The efficiency of the Chinese stock market and the role of the banks. Journal of Asian Economics 14 4 (2003) 593-609
27. Groenewold N., Tang S.H.K., and Wu Y. The profitability of regression-based trading rules for the Shanghai stock market. International Review of Financial Analysis 17 (2008) 411-430
28. Hoque H.A.A.B., Kim J.H., and Pyun C.S. A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets. International Review of Economics and Finance 16 (2007) 488-502
29. Howe J.S., Martin D.W., and Wood Jr. B.G. Much ado about nothing - Long-term memory in Pacific Rim equity markets. International Review of Financial Analysis 8 2 (1999) 139-151
30. Huang B.N. Do Asian stock market prices follow random walks? Evidence from the variance ratio test. Applied Financial Economics 5 (1995) 251-256
31. Hurst H.E. The long-term storage reservoirs. Transaction of the American Society of Civil Engineer (1951)
32. Kantelhardt J.W., Zschiegner S.A., Koscielny-Bunde E., Havlin S., Bunde A., and Stanley H.E. Multifractal detrended fluctuation analysis of nonstationary time series. Physica A 316 (2002) 87-114
33. Kim K., and Yoon S. Multifractal features of financial markets. Physica A 344 (2004) 272-278
34. Kullmann L., Kertesz J., and Kaski K. Time-dependent cross-correlations between different stock returns: A directed network of influence. Physical Review E 66 (2002) 026125
35. Laurence M., Cai F., and Qian S. Weak-form efficiency and causality tests in Chinese stock markets. Multinational Finance Journal 1 4 (1997) 291-307
36. Lee K.E., and Lee J.W. Probability distribution function and multiscaling properties in the Korean stock market. Physica A 383 (2007) 65-70
37. Lo A.W. Long-term memory in stock market prices. Econometrica 59 5 (1991) 1279-1313
38. Lo A.W., and MacKinlay A.C. Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies 1 (1988) 41-66
39. Lo A.W., and MacKinlay A.C. When are contrarian profits due to stock market overreaction?. The Review of Financial Studies 3 2 (1990) 175-205
40. Mandelbrot B., Fisher A., and Calvet L. A multifractal model of asset returns. Yale University, Cowles Foundation Discussion Paper #1164 (1997)
41. Markowitz H. Portfolio selection. Journal of Finance 7 1 (1952) 77-99
42. Markowitz H. Portfolio selection: Efficiency diversification of investments. Cowles Foundation, Monograph n.16 (1959), John Wiley & Sons, Inc, New York
43. Marshall B.R., and Cahan R.H. Is technical analysis profitable on a stock market which has characteristics that suggest it may be inefficient?. Research in International Business and Finance 19 3 (2005) 384-398
44. McKenzie M.D. Non-periodic Australian stock market cycles: Evidence from rescaled range analysis. The Economic Record 77 239 (2001) 393-406
45. Metghalchi M., Chang Y.H., and Marcucci J. Is the Swedish stock market efficient? Evidence from some simple trading rules. International Review of Financial Analysis 17 (2008) 475-490
46. Movahed M.S., Jafari G.R., Ghasemi F., Rahvar S., and Tabar M.R.R. Multifractal detrended fluctuation analysis of sunspot time series. Journal of Statistical Mechanics (2006) P02003
47. Norouzzadeh P., and Jafari G.R. Application of multifractal measures to Teheran price index. Physica A 356 (2005) 609-627
48. Norouzzadeh P., and Rahmani B. A multifractal detrended fluctuation description of Iralian rial-US dollar exchange rate. Phisica A 367 (2006) 328-336
49. Ojah K., and Karemera D. Random walks and market efficiency tests of Latin American emerging equity earkets: A revisit. The Financial Review 34 (1999) 57-72
50. Opong K.K., Mulholland G., Fox A.F., and Farahmand K. The behaviour of some UK equity indices: an application of Hurst and BDS tests. Journal of Empirical Finance 6 (1999) 267-282
51. Oswiecimka P., Kwapien J., and Drozdz S. Multifractality in the stock market: Price increments versus waiting times. Physica A 347 (2005) 626-638
52. Peters E.E. Chaos and order in the capital markets (1991), John Wiley & Sons, New York
53. Peters E.E. Fractal Markets analysis: Applying chaos theory to investments and economics (1994), John Wiley & Sons, New York
54. Poterba J.M., and Summers L.H. Mean reversion in stock prices - Evidence and implications. Journal of Financial Economics 22 (1988) 27-59
55. Qian B., and Rasheed K. Hurst exponent and financial market predictability. Financial Engineering and Applications (2004)
56. RiskMetrics. Technical Document. fourth ed. (1996), J.P. Morgan, London
57. Selcuk F., and Gencay R. Intraday dynamics of stock market returns and volatility. Physica A 367 (2006) 375-387
58. Theiler J., Galdrakian B., Longtin A., Eubank S., and Doyne Farmer J. Testing for non-linearity in time series: the method of surrogate data. Physica D 58 (1992) 77-94
59. Toth B., and Kertesz J. Increasing market efficiency: Evolution of cross-correlations of stock returns. Physica A 360 (2006) 505-515
60. Uritskaya, O.Y., Serletis, A., forthcoming Quantifying multiscale inefficiency in electricity markets. Forthcoming in Energy Economics.
61. Urrutia J.L. Test of random walk and market efficiency for Latin American emerging equity markets. The Journal of Financial Research 18 (1995) 299-309