Multifractal detrended fluctuation analysis : evidence from 16 Central and Eastern European stock markets
Résumé
The multifractal detrended fluctuation analysis (MF-DFA) has been widely used to study Western industrialized markets, but there is a lack of recent researches about the Central and Easter European (CEEC) stock markets. We applied both a static and a dynamic analysis with the daily sliding windows approach, using daily returns of 16 CEEC stock markets up to May 2021. The results show that all CEEC stock markets exhibit multifractality. Moreover, the market efficiency did not increase with time, and the long-term dependence remains in most countries. Finally, large markets tend to exhibit a higher efficiency level.