Theoretical and Applied Economics
No. 3 / 2022 (632), Autumn
Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors
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.
Contents
Financial development and public debt. Estimating the role of institutional quality
An econometric approach to analyse the perceived cartel behaviour of OPEC
Global Competitiveness Index 4.0 and export performances of the European economies
Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors
Using automated systems to run a modern state and benchmarking the solution with advanced indicators
Health expenditure, life expectancy, fertility rate, CO2 emissions and economic growth Do public, private and external health expenditure matter?
The economic effects of working remotely: causes and implications
Cash conversion cycle and its relationship with profitability as a cash management tool in companies: An application on companies trading in Borsa Istanbul
Measuring financial inclusion and its present status in South Asian countries. Evidence from a multidimensional Financial Inclusion Index
Stock market linkages in Asia. Revisiting Granger causality evidences
The effects of exchange rate changes on the bilateral trade balances between the MENA country group and France: empirical evidences based on non-linear ARDL approach
Postmodernism and communication in education. European funds for combatting school dropout in Romania
Fiscal and monetary policy effects on economic growth in Romania (1990-2020)
Economic growth at the expense of technology
Inflation seriously affects the standard of living of the population