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Price–volume multifractal analysis of the Moroccan stock market

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  • El Alaoui, Marwane

Abstract

In this paper, we analyzed price–volume multifractal cross-correlations of Moroccan Stock Exchange. We chose the period from January 1st 2000 to January 20th 2017 to investigate the multifractal behavior of price change and volume change series. Then, we used multifractal detrended cross-correlations analysis method (MF-DCCA) and multifractal detrended fluctuation analysis (MF-DFA) to analyze the series. We computed bivariate generalized Hurst exponent, Rényi exponent and spectrum of singularity for each pair of indices to measure quantitatively cross-correlations. Furthermore, we used detrended cross-correlations coefficient (DCCA) and cross-correlation test (Q(m)) to analyze cross-correlation quantitatively and qualitatively. By analyzing results, we found existence of price–volume multifractal cross-correlations. The spectrum width has a strong multifractal cross-correlation. We remarked that volume change series is anti-persistent when we analyzed the generalized Hurst exponent for all moments q. The cross-correlation test showed the presence of a significant cross-correlation. However, DCCA coefficient had a small positive value, which means that the level of correlation is not very significant. Finally, we analyzed sources of multifractality and their degree of contribution in the series.

Suggested Citation

  • El Alaoui, Marwane, 2017. "Price–volume multifractal analysis of the Moroccan stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 473-485.
    • Handle: RePEc:eee:phsmap:v:486:y:2017:i:c:p:473-485
    DOI: 10.1016/j.physa.2017.05.052
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    More about this item

    Keywords

    Price–volume analysis; Cross-correlation; Multifractality; MF-DFA; MF-DCCA; DCCA; Cross-correlation test;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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