Unifractality and multifractality in the Italian stock market

Enrico Onali*, John Goddard

*Corresponding author for this work

Research output: Contribution to journalArticle

Abstract

Tests for random walk behaviour in the Italian stock market are presented, based on an investigation of the fractal properties of the log return series for the Mibtel index. The random walk hypothesis is evaluated against alternatives accommodating either unifractality or multifractality. Critical values for the test statistics are generated using Monte Carlo simulations of random Gaussian innovations. Evidence is reported of multifractality, and the departure from random walk behaviour is statistically significant on standard criteria. The observed pattern is attributed primarily to fat tails in the return probability distribution, associated with volatility clustering in returns measured over various time scales.

Original languageEnglish
Pages (from-to)154-163
Number of pages10
JournalInternational Review of Financial Analysis
Volume18
Issue number4
Early online date13 May 2009
DOIs
Publication statusPublished - Sep 2009

Keywords

  • Italy
  • multifractality
  • random walk
  • stock market
  • unifractality

Fingerprint Dive into the research topics of 'Unifractality and multifractality in the Italian stock market'. Together they form a unique fingerprint.

  • Cite this