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Article

Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis

Symbiosis Institute of Business Management, Pune, Maharashtra 412115, India
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J. Risk Financial Manag. 2020, 13(10), 248; https://doi.org/10.3390/jrfm13100248
Received: 29 September 2020 / Revised: 14 October 2020 / Accepted: 16 October 2020 / Published: 20 October 2020
(This article belongs to the Special Issue Market Anomalies in Emerging and Frontier Markets)
The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the series are identified using the Bai and Perron procedure, and in each segment, Multifractal Detrended Fluctuation Analysis (MFDFA) and Multifractal Detrended Cross-Correlation Analysis (MFDCCA) are conducted to capture the long memory in each series. The price series is persistent in small fluctuations and anti-persistent in large fluctuations across all the structural segments. This confirms that long memory in the series is not affected by the structural breaks. Both volume and price-volume cross-correlation are anti-persistent in all the structural segments. In other words, volume acts as a carrier of the information only in the non-volatile (normal) market. The varying Hurst exponent across the structural segments indicates the varying levels of persistence and signifies the volatile market. The findings of the study are useful for understanding the practical implications of the Adaptive Market Hypothesis (AMH). View Full-Text
Keywords: market efficiency; price-volume; adaptive market hypothesis; structural breaks; multifractality; long memory market efficiency; price-volume; adaptive market hypothesis; structural breaks; multifractality; long memory
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MDPI and ACS Style

Patil, A.C.; Rastogi, S. Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis. J. Risk Financial Manag. 2020, 13, 248. https://doi.org/10.3390/jrfm13100248

AMA Style

Patil AC, Rastogi S. Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis. Journal of Risk and Financial Management. 2020; 13(10):248. https://doi.org/10.3390/jrfm13100248

Chicago/Turabian Style

Patil, Ashok C., and Shailesh Rastogi. 2020. "Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis" Journal of Risk and Financial Management 13, no. 10: 248. https://doi.org/10.3390/jrfm13100248

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