Abstract
In this paper, we apply the methods, Multifractal Detrended Fluctuation Analysis (MF-DFA) and Multifractal Detrended Cross-Correlation Analysis (MF-DXA) to study the auto correlation/cross-correlation behaviour and multifractal characteristics on twenty three stock market indices of Department of Public Enterprises (DPE), India. The auto correlation and cross-correlation have been measured from the Hurst scaling exponents and the singularity spectrum quantitatively. From the calculated power law scaling exponents we observe the volume and price-volume change time series possess strong anti-persistent behaviour. The price change of different time series shows persistent, stochastic and anti-persistent behaviour. We also observe the existence of multifractal characteristics in all price, volume and price-volume change time series. The price changes in the time series shows high complexity compared to volume and cross correlated price-volume.
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