Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?
Küçük Resim Yok
Tarih
2019
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
The analysis of linkages between financial markets has been a promising subject of study after globalization. Main consequence of these linkages is on transmission of the crisis from one country to another. Therefore, identifying and modeling of those linkages are important issues in the analysis of financial markets. According to studies the cross correlations present nonlinear behavior and in general the well-known methods fail to predict such correlations. In this paper, we aim to show the existence of nonlinear cross correlations between Turkish Stock Exchange and major developed country indices. For this purpose, we use the Multifractal Detrending Moving-Average Cross-correlation Analysis (MF-X-DMA) which is designed for detecting long-range power-law correlations. In the analysis we use the daily financial return and volatility series of Turkish stock market index BIST100 and developed market indexes which are S&P500, DAX30, FTSE100 for a period of 11 years between 01/01/2007-01/01/2018. The results show the existence of multifractality and long-range power-law cross-correlations. (C) 2019 Elsevier B.V. All rights reserved.
Açıklama
Anahtar Kelimeler
MF-X-DMA, Cross-Correlations, Multifractality, Power-Law, BIST100, S&P500, DAX30, FTSE100, Moving Average, Crude-Oil, Markets, Spot, Volatility, Gold
Kaynak
Physica A-Statistical Mechanics And Its Applications
WoS Q Değeri
Q2
Scopus Q Değeri
Q2
Cilt
525
