Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches

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• 作者：Syed Jawad Hussain Shahzad^a ; ^b ; ^c ; ^{jawad.kazmi5@gmail.com} ; ^{j.syed@montpellier-bs.com} ; Safwan Mohd Nor^a ; ^d ; ^{safwan@umt.edu.my} ; Walid Mensi^e ; ^f ; ^{walid.mensi@fsegt.rnu.tn} ; Ronald Ravinesh Kumar^g ; ^h ; ^{kumar_RN@usp.ac.fj} ; ^{rrk8@student.le.ac.uk} ; ^{ronaldkmr15@gmail.com}
• 关键词：G1 ; G14 ; G17
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：471
• 期：Complete
• 页码：351-363
• 全文大小：5803 K
• 卷排序：471

文摘

Relative efficiency of 11 industry-level US credit and stock markets is examined through MF-DFA. Mutual interdependence between CDS-stock market pairs is investigated using MF-DXA. Both credit and stock markets exhibit multifractal behavior. Industry-level credit markets are relatively more inefficient compared to their equity counterparts except the Banks and Financial sectors. Materials has the highest dependence with the other credit market industries.