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Multifractal analysis of Indian public sector enterprises

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  • Charutha, S.
  • Gopal Krishna, M.
  • Manimaran, P.

Abstract

In this paper, we apply the methods, Multifractal Detrended Fluctuation Analysis (MF-DFA) and Multifractal Detrended Cross-Correlation Analysis (MF-DXA) to study the auto correlation/cross-correlation behaviour and multifractal characteristics on twenty three stock market indices of Department of Public Enterprises (DPE), India. The auto correlation and cross-correlation have been measured from the Hurst scaling exponents and the singularity spectrum quantitatively. From the calculated power law scaling exponents we observe the volume and price-volume change time series possess strong anti-persistent behaviour. The price change of different time series shows persistent, stochastic and anti-persistent behaviour. We also observe the existence of multifractal characteristics in all price, volume and price-volume change time series. The price changes in the time series shows high complexity compared to volume and cross correlated price-volume.

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  • Charutha, S. & Gopal Krishna, M. & Manimaran, P., 2020. "Multifractal analysis of Indian public sector enterprises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    • Handle: RePEc:eee:phsmap:v:557:y:2020:i:c:s0378437120304568
    DOI: 10.1016/j.physa.2020.124881
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    Cited by:

    1. Suchetana Sadhukhan & Poulomi Sadhukhan, 2022. "Sector-wise analysis of Indian stock market: Long and short-term risk and stability analysis," Papers 2210.09619, arXiv.org.

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