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Theoretical and Applied Economics
No. 3 / 2022 (632), Autumn

Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors

Akash P. POOJARI
Reserve Bank of India, Mumbai, India
Siva Kiran GUPTHA
Sri Sri Sathya Sai Institute of Higher Learning, Andhra Pradesh, India
G Raghavender RAJU
Sri Sri Sathya Sai Institute of Higher Learning Andhra Pradesh, India

Abstract. In this paper we analyse the degree of market efficiency present in bank equities for selected emerging and frontier economies. Employing the Multifractal Detrended Fluctuation Analysis (MFDFA), we inspect bank equity across thirty-seven banks in these economies. The MFDFA methodology enables to characterize the strength of multifractal complexities and to identify the sources of multifractal behavior. Furthermore, the time evolution of the Hurst exponents are calculated for banks having long-term temporal correlation as a significant source of multifractality. The results confirm that the time variant Hurst exponent can serve as a leading indicator for guiding investment decisions.

Keywords: multifractality analysis, market efficiency, emerging and frontier markets, Hurst exponent, MF-DFA.

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