Abstract:This paper uses MFDFA-2 method and the shuffled and surrogated return time series to study the multifractality in the volatility returns of 23 countries after 2007 stock market crash. The results suggest although the financial crisis is caused by US sub prime lending crisis, the influence has spread to the whole world. The multifractality degree after 2007 stock market crash is higher than the day before 2007, either to US or other countries. And the multifractality degree of volatility return is higher for em… Show more
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