Artikel
Multifractal analysis of market efficiency across structural breaks: Implications for the adaptive market hypothesis
The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the series are identified using the Bai and Perron procedure, and in each segment, Multifractal Detrended Fluctuation Analysis (MFDFA) and Multifractal Detrended Cross-Correlation Analysis (MFDCCA) are conducted to capture the long memory in each series. The price series is persistent in small fluctuations and anti-persistent in large fluctuations across all the structural segments. This confirms that long memory in the series is not affected by the structural breaks. Both volume and price-volume cross-correlation are anti-persistent in all the structural segments. In other words, volume acts as a carrier of the information only in the non-volatile (normal) market. The varying Hurst exponent across the structural segments indicates the varying levels of persistence and signifies the volatile market. The findings of the study are useful for understanding the practical implications of the Adaptive Market Hypothesis (AMH).
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 10 ; Pages: 1-18 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
adaptive market hypothesis
long memory
market efficiency
multifractality
price-volume
structural breaks
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Patil, Ashok Chanabasangouda
Rastogi, Shailesh
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
-
doi:10.3390/jrfm13100248
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Patil, Ashok Chanabasangouda
- Rastogi, Shailesh
- MDPI
Entstanden
- 2020
Ähnliche Objekte (12)
Adaptive market hypothesis: Evidence from the Vietnamese stock market
Adaptive market hypothesis: An empirical analysis of the Wine Market
Adaptive market hypothesis: An empirical analysis of time – varying market efficiency of cryptocurrencies
Behavior of calendar anomalies, market conditions and adaptive market hypothesis: Evidence from Pakistan stock exchange
Adaptive market hypothesis and momentum effect: Evidence from Dhaka Stock Exchange
Cryptocurrencies, gold, and WTI crude oil market efficiency: A dynamic analysis based on the adaptive market hypothesis
Isobars and the efficient market hypothesis
Heterogeneity across emerging market central bank reaction functions
The Utility Hypothesis and Market Demand Theory
Testing the weak-form efficiency market hypothesis: Evidence from Nigerian stock market
Nonlinear Error Correction and the Efficient Market Hypothesis
Bewertung von Optionen unter der coherent market hypothesis
Adaptive market hypothesis: Evidence from the Vietnamese stock market
Adaptive market hypothesis: An empirical analysis of the Wine Market
Adaptive market hypothesis: An empirical analysis of time – varying market efficiency of cryptocurrencies
Behavior of calendar anomalies, market conditions and adaptive market hypothesis: Evidence from Pakistan stock exchange
Adaptive market hypothesis and momentum effect: Evidence from Dhaka Stock Exchange
Cryptocurrencies, gold, and WTI crude oil market efficiency: A dynamic analysis based on the adaptive market hypothesis
Isobars and the efficient market hypothesis
Heterogeneity across emerging market central bank reaction functions
The Utility Hypothesis and Market Demand Theory
Testing the weak-form efficiency market hypothesis: Evidence from Nigerian stock market
Nonlinear Error Correction and the Efficient Market Hypothesis
Bewertung von Optionen unter der coherent market hypothesis
Adaptive market hypothesis: Evidence from the Vietnamese stock market
Adaptive market hypothesis: An empirical analysis of the Wine Market
Adaptive market hypothesis: An empirical analysis of time – varying market efficiency of cryptocurrencies
Behavior of calendar anomalies, market conditions and adaptive market hypothesis: Evidence from Pakistan stock exchange
Adaptive market hypothesis and momentum effect: Evidence from Dhaka Stock Exchange
Cryptocurrencies, gold, and WTI crude oil market efficiency: A dynamic analysis based on the adaptive market hypothesis
Isobars and the efficient market hypothesis
Heterogeneity across emerging market central bank reaction functions
The Utility Hypothesis and Market Demand Theory
Testing the weak-form efficiency market hypothesis: Evidence from Nigerian stock market
Nonlinear Error Correction and the Efficient Market Hypothesis