دانلود مقاله ISI انگلیسی شماره 83320
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
83320 2018 27 صفحه PDF سفارش دهید 6851 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Testing for multifractality of Islamic stock markets
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Physica A: Statistical Mechanics and its Applications, Volume 496, 15 April 2018, Pages 263-273

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چکیده انگلیسی

Studying the power-law scaling of financial time series is a promising area of econophysics, which has often contributed to the understanding of the intricate features of the global markets. In this article, we examine the multifractality of some financial processes and the underlying formation mechanisms in the context of Islamic equity markets. The well-known Multifractal Detrended Fluctuation Analysis (MF-DFA) is used to investigate the self-similar properties of two Dow Jones Islamic Market Indexes (DJIM). The results prove that both indexes exhibit multifractal properties. By discussing the sources of multifractality, we find that they are related to the occurrence of extreme events, long-range dependency of autocorrelations and fat-tailed distribution of returns. These results have several important implications for analysts and decision makers in modeling the dynamics of Islamic markets, thus recommending efficient asset allocation plans to investors dealing with Islamic equity markets.

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پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.