A Multifractal Detrended Fluctuation Analysis of the Moroccan Stock Exchange

Benbachir, Saâd and El Alaoui, Marwane (2011): A Multifractal Detrended Fluctuation Analysis of the Moroccan Stock Exchange. Published in: International Research Journal of Finance and Economics No. 78 (2011): pp. 6-17.

Abstract

We perform the Multifractal Detrended Fluctuation Analysis (MF-DFA) method to investigate the multifractal properties of the Moroccan All Shared Index (MASI) and the Moroccan Most Active Shares Index (MADEX) from the Casablanca Stock Exchange (CSE). By applying the MF-DFA method we first calculate the generalized Hurst exponents and we then deduce the Rényi exponents as well asthe singularity spectrum of the MASI and MADEX indices. Furthermore, we perform the shuffling and the phaserandomization techniques to detect the sources of the multifractality. We show that there are two major sources of multifractality, the long-range temporal correlations and the fattail distribution. We show notably that the first source contributes mainly to the multifractality of MASI index while the two sources contribute almost equally to the multifractality of the MADEX index. By comparing the multifractal behavior of the MASI and MADEX indices we find finally that the first one exhibits a richer multifractal feature than the second one. This permits us to conclude that the greater is the stock market the more complex is the dynamics of the stock market index representing all of the market, which is traduced by richer multifractal behavior of this index. This study leads to the principal conclusion that the Casablanca Stock Exchange is characterized by a multifractal behavior.

• Item Type: MPRA Paper
• Language: English
• Keywords: Multifractality, Generalized Hurst exponent, Rényi exponent, Singularity spectrum
• Subjects: C - Mathematical and Quantitative Methods > C0 - General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; G - Financial Economics > G1 - General Financial Markets

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