Unifractality and Multifractality in the Italian Stock Market

Posted: 17 May 2009

See all articles by John Goddard

John Goddard

Bangor University - Bangor University

Enrico Onali

University of Exeter Business School

Multiple version iconThere are 2 versions of this paper

Date Written: May 17, 2009

Abstract

Tests for random walk behaviour in the Italian stock market are presented, based on an investigation of the fractal properties of the log returns 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 returns probability distribution, associated with volatility clustering in returns measured over various time scales.

Keywords: random walk, unifractality, multifractality, Italy, stock market

JEL Classification: G1, F3

Suggested Citation

Goddard, John and Onali, Enrico, Unifractality and Multifractality in the Italian Stock Market (May 17, 2009). International Review of Financial Analysis, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1406167

John Goddard

Bangor University - Bangor University ( email )

Bangor, Wales LL57 2DG
United Kingdom

Enrico Onali (Contact Author)

University of Exeter Business School ( email )

Exeter
United Kingdom

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