Multifractal analysis of financial markets: A review
Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
Financial market risks during the COVID-19 pandemic
This article examines the nature of time-varying systematic risk for both Islamic and non-
Islamic sectoral indices during COVID-19. The novelty lies in the analysis of behavioral …
Islamic sectoral indices during COVID-19. The novelty lies in the analysis of behavioral …
Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?
G Gajardo, WD Kristjanpoller, M Minutolo - Chaos, Solitons & Fractals, 2018 - Elsevier
We applied MF-ADCCA to analyze the presence and asymmetry of the cross-correlations
between the major currency rates and Bitcoin, and the Dow Jones Industrial Average (DJIA) …
between the major currency rates and Bitcoin, and the Dow Jones Industrial Average (DJIA) …
Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency
Literature is rife with studies on efficiency of stock markets and financial performance
aspects. One such aspect is the measurement of sectoral efficiency amongst stock markets …
aspects. One such aspect is the measurement of sectoral efficiency amongst stock markets …
Multifractal analysis of market efficiency across structural breaks: Implications for the adaptive market hypothesis
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 …
volume, and price-volume cross-correlation series across structural breaks. The secondary …
[HTML][HTML] How does crisis affect efficiency? An empirical study of East Asian markets
Much research has been undertaken in the Efficient Market Hypothesis (EMH) over the
preceding two decades. With Asian countries emerging as a global powerhouse in terms of …
preceding two decades. With Asian countries emerging as a global powerhouse in terms of …
Understanding time-varying systematic risks in Islamic and conventional sectoral indices
This paper examines the nature of time-varying systematic risk for both Islamic and non-
Islamic sectoral indices. The novelty lies in the analysis of behavioural changes in beta …
Islamic sectoral indices. The novelty lies in the analysis of behavioural changes in beta …
Analysis of the efficiency–integration nexus of Japanese stock market
This paper attempts a novel approach in analysing the Japanese economy through a dual-
dimension analysis of its stock market, examining the efficiency and market integration …
dimension analysis of its stock market, examining the efficiency and market integration …
Do Islamic cryptocurrencies provide diversification opportunities to Indonesian Islamic investors?
This study examines whether Islamic gold-backed cryptocurrencies (Onegram and X8X)
provide any diversification benefits to the Islamic investors of Indonesia. We study the co …
provide any diversification benefits to the Islamic investors of Indonesia. We study the co …
Impact of Brexit vote on the London stock exchange: A sectorial analysis of its volatility and efficiency
The introduction and continual ambiguity surrounding Brexit vote has brought attention to
the volatility of the London Stock Exchange (LSE). Using wavelets to decompose financial …
the volatility of the London Stock Exchange (LSE). Using wavelets to decompose financial …