Title: Efficiency classification among MENA region stock markets indexes: insights from multifractal spectrum and MSM forecasts

Authors: Monia Antar

Addresses: High Institute of Management, University of Tunis, 2000, Le Bardo, Tunisia

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.

Keywords: multifractal spectrum width; efficiency; volatility prediction; Markov switching multifractal; MSM simulation; MENA emerging markets.

DOI: 10.1504/IJBEM.2022.121899

International Journal of Business and Emerging Markets, 2022 Vol.14 No.2, pp.189 - 212

Accepted: 06 Mar 2021
Published online: 07 Apr 2022 *

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