Efficiency classification among MENA region stock markets indexes: insights from multifractal spectrum and MSM forecasts
by Monia Antar
International Journal of Business and Emerging Markets (IJBEM), Vol. 14, No. 2, 2022

Abstract: This paper proposes an efficiency ranking of the stock-market indexes in the MENA region based on the scale-invariant characteristics of stock returns. The methodology involves the computation of the multifractal spectrum width. This study also estimates a Markov switching multifractal (MSM) model and uses it to forecast stock-return volatility. The value of the loss function associated with the volatility forecasts provides an alternative metric to gauge the efficiency of the stock market. It was found that the ranking based on the MSM model forecasts shows some inconsistencies with that based on the spectrum width, suggesting that the MSM model does not perform as well in predicting stock-market volatility in emerging markets as it does in developed countries.

Online publication date: Thu, 07-Apr-2022

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