An MFDFA Study to find Herd Behaviour and Information Asymmetry during Demonetization

Balasubramanian, Niranjana

doi:10.12725/ujbm.52.3

Cited by 2 publications

(2 citation statements)

References 17 publications

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“…The results show the value of h(q) is different from 0.5, which means that the time series does not display a random walk behavior implying that the series are predictable and are not stochastic (Balasubramanian, 2020). Moreover, the values of h(q) 0.5 and <1 imply that the long-term persistence exists in the house prices returns in both the short and long run.…”

Section: Discussionmentioning

confidence: 92%

A multifractal detrended fluctuation analysis of housing market: a role of financial crises in developed economies

Raza

Shah

Suleman

et al. 2021

IJHMA

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Purpose This study aims to examine the house price fluctuations in G7 countries by using the multifractal detrended fluctuation analysis (MF-DFA) for the years 1970–2019. The study examined the market efficiency between the short-term and long-term in the full sample period, before and after the global financial crisis period. Design/methodology/approach This study uses the MF-DFA to analyze house price fluctuations. Findings The findings confirmed that the housing market series are multifractal. Furthermore, all the markets showed long-term persistence in both the short and long-term. The USA is identified as the most persistent house market in the short run and Japan in the long run. Moreover, in terms of efficiency, Canada is identified as the most efficient house market in the long run and the UK in the short run. Finally, the result of before and after the financial crisis period is consistent with the full sample result. Originality/value The contribution of this study in the literature is fourfold. This is the first study that has examined the house prices efficiency by using the MF-DFA technique given by Kantelhardt et al. (2002). Previously, the house market prices and efficiency has been investigated using generalized Hurst exponent (Liu et al., 2019), Quantile Regression Approach (Chae and Bera, 2019; Tiwari et al., 2019) but no study to the best of the knowledge has been done that has used the MF-DFA technique on the housing market. Second, this is the first study that has focused on the house markets of G7 countries. Third, this study explores the house market efficiency by dividing the market into two periods i.e. before and after the financial crisis. The study strives to investigate if the financial crisis determines the change in the degree of market efficiency or not. Finally, the study gives valuable insights to the investors that will help them in their investment decisions.

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Section: Discussionmentioning

confidence: 92%

A multifractal detrended fluctuation analysis of housing market: a role of financial crises in developed economies

Raza

Shah

Suleman

et al. 2021

IJHMA

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“…Their results demonstrated a higher efficiency of Islamic sectoral indices in comparison with conventional stock indices. Moreover, the MFDFA technique was also employed by Balasubramanian (2020) to inspect the herding behavior of the Indian stock market.…”

Section: Introductionmentioning

confidence: 99%

Influence of the Russia–Ukraine War and COVID-19 Pandemic on the Efficiency and Herding Behavior of Stock Markets: Evidence from G20 Nations

Ahmed Memon,

Aslam,

Naveed

et al. 2024

Economies

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Efficiency in stock markets is essential for economic stability and growth. This study investigates the efficiency and herding behavior of the stock markets from the top economies of the world (known as G20 countries). We classify stock market indices using MSCI classification for the developed and emerging markets to provide a comparative examination using the latest data and by employing the robust multifractal detrended fluctuation (MFDFA) method. In addition to the full sample, the analysis uses sub-sample periods to reveal the hidden features and efficiencies of the G20 markets during the Russia–Ukraine War and COVID-19 for the first time. The findings show the availability of varied multifractality among all G20 stock markets during the overall and crisis periods, exhibit long-range correlations, and may support the fractal market hypothesis. In addition, Italy remains the least efficient, while Germany remains the most efficient stock market. The sub-sample results further reveal unevenness in the local fluctuations and resultant higher inefficiency considering the sheer magnitude and impact of crises on the G20 stock markets. However, the efficiency of developed stock markets performed better as compared to emerging markets. The study of G20 stock markets is useful and provides several implications for a wider audience.

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An MFDFA Study to find Herd Behaviour and Information Asymmetry during Demonetization

Cited by 2 publications

References 17 publications

A multifractal detrended fluctuation analysis of housing market: a role of financial crises in developed economies

A multifractal detrended fluctuation analysis of housing market: a role of financial crises in developed economies

Influence of the Russia–Ukraine War and COVID-19 Pandemic on the Efficiency and Herding Behavior of Stock Markets: Evidence from G20 Nations

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