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Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA

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  • Lee, Minhyuk
  • Song, Jae Wook
  • Park, Ji Hwan
  • Chang, Woojin

Abstract

We detect the asymmetric multi-fractality in the U.S. stock indices based on the asymmetric multi-fractal detrended fluctuation analysis (A-MFDFA). Instead using the conventional return-based approach, we propose the index-based model of A-MFDFA where the trend based on the evolution of stock index rather than stock price return plays a role for evaluating the asymmetric scaling behaviors. The results show that the multi-fractal behaviors of the U.S. stock indices are asymmetric and the index-based model detects the asymmetric multi-fractality better than return-based model. We also discuss the source of multi-fractality and its asymmetry and observe that the multi-fractal asymmetry in the U.S. stock indices has a time-varying feature where the degree of multi-fractality and asymmetry increase during the financial crisis.

Suggested Citation

  • Lee, Minhyuk & Song, Jae Wook & Park, Ji Hwan & Chang, Woojin, 2017. "Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA," Chaos, Solitons & Fractals, Elsevier, vol. 97(C), pages 28-38.
    • Handle: RePEc:eee:chsofr:v:97:y:2017:i:c:p:28-38
    DOI: 10.1016/j.chaos.2017.02.001
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