Multi-fractal detrended cross-correlation analysis (MFDCCA) approach to study effect of global crisis and demonetization on financial sector of India

Abstract

Financial market is a complex system comprising dense network of investors. Heterogeneous data is buried underneath every layer of the dense network which can be extracted and analysed for various studies using different methodologies. For studying the statistical properties of financial market, different methods have been developed, Multifractal Detrended Cross Correlation Analysis Method (MFDCCA) being one of them. MFDCCA method is applied to study multifractality, efficiency and cross correlation of time series of closing prices extracted from banking sector of Indian financial market for two time periods. The first time period represents the Global Financial Crisis (2008) and the second period indicates the demonetization in India (2016). By applying MFDCCA method, Hurst exponents and strength of singularity spectrum is calculated. Furthermore, it explores the cross correlation among the stocks and strength of multifractality