NDLI: Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis

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Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis

Content Provider	MDPI
Author	Patil, Ashok Chanabasangouda Rastogi, Shailesh
Copyright Year	2020
Description	The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the series are identified using the Bai and Perron procedure, and in each segment, Multifractal Detrended Fluctuation Analysis (MFDFA) and Multifractal Detrended Cross-Correlation Analysis (MFDCCA) are conducted to capture the long memory in each series. The price series is persistent in small fluctuations and anti-persistent in large fluctuations across all the structural segments. This confirms that long memory in the series is not affected by the structural breaks. Both volume and price-volume cross-correlation are anti-persistent in all the structural segments. In other words, volume acts as a carrier of the information only in the non-volatile (normal) market. The varying Hurst exponent across the structural segments indicates the varying levels of persistence and signifies the volatile market. The findings of the study are useful for understanding the practical implications of the Adaptive Market Hypothesis (AMH).
Starting Page	248
e-ISSN	19118074
DOI	10.3390/jrfm13100248
Journal	Journal of Risk and Financial Management
Issue Number	10
Volume Number	13
Language	English
Publisher	MDPI
Publisher Date	2020-10-20
Access Restriction	Open
Subject Keyword	Journal of Risk and Financial Management Mathematical Social Sciences Market Efficiency Price-volume Adaptive Market Hypothesis Structural Breaks Multifractality Long Memory
Content Type	Text
Resource Type	Article

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