Multifractality in stock indexes: Fact or fiction?

Abstract

Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P500, and NASDAQ) to check whether the indexes (instead of the returns) possess multifractality. We find that the mass exponent $\tau (q)$ is linear and the singularity $\alpha (q)$ is close to 1 for all trading days and all indexes. Furthermore, we find strong evidence showing that the scaling behaviors of the original data sets cannot be distinguished from those of the shuffled time series. Hence, the so-called multifractality in the intraday stock market indexes is merely an illusion.

14 elsart pages including 6 eps figures

References in corpus (2)

• Scale invariant multiplier and multifractality of absolute returns in stock markets
• Multifractality of Inverse Statistics of Exit Distances in 3D Fully Developed Turbulence

Cited by in corpus (3)

• Multifractal analysis of Chinese stock volatilities based on partition function approach
• Scale invariant multiplier and multifractality of absolute returns in stock markets
• Detrended fluctuation analysis of intertrade durations