Comparing multifractality among Czech, Hungarian and Russian stock exchanges

Abstract

In this paper, we analyse multifractality among Czech, Hungarian and Russian stock exchanges. For this end we perform a method titled multifractal detrended fluctuation analysis (MF-DFA) to investigate the multifractal properties of PX, BUX and RTS indices. By applying the MF-DFA method we first calculate the generalised Hurst exponents, we then deduce the Renyi exponents as well as the singularity spectrum of these indices. Furthermore, we perform shuffling and surrogate techniques to detect the sources of multifractality. We also compute the contribution of two major sources of multifractality that are long-range temporal correlations and fat-tail distribution. This study shows that the Czech, Hungarian and Russian stock exchanges are neither efficient nor fractals, but they are multifractal markets. By comparing spectrum width of these indices, we also find which index has the richer multifractal feature.