Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239309 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 13 [Issue:] 10 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-18
Publisher: 
MDPI, Basel
Abstract: 
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).
Subjects: 
adaptive market hypothesis
long memory
market efficiency
multifractality
price-volume
structural breaks
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size
924.73 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.