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Title: The complexity of the HANG SENG Index and its constituencies during the 2007–2008 Great Recession
Authors: Argyroudis, George S.
Siokis, Fotios M.
Type: Article
Subjects: FRASCATI::Social sciences
FRASCATI::Engineering and technology
Keywords: Multifractal detrended moving average
Financial crisis
Issue Date: 1-Apr-2018
Source: Physica A: Statistical Mechanics and its Applications
Volume: 495
First Page: 463
Last Page: 474
Abstract: We apply the multifractal detrended moving average (MF-DMA) procedure to the daily data from HANG SENG Index (HSI) and two sub-indices, the Properties Index which consists of 10 Real Estate Companies and the Finance Index with 12 companies respectively. Two major events are considered: the 2007 and the 1997 crises. Based on scaling exponents and the singularity spectrum analysis, we show that both events reveal multiscaling and the results are robust across different indices. Furthermore, by dividing the data into two equal sub-samples for prior and after the crisis periods, we reveal that for the 2007–2008 crisis, the complexity of the HSI and Properties index remain the same between periods, while for the Finance Index, the after crisis period exhibits richer multifractality and higher complexity. Especially for the Properties Index, the results indicate that the Real Estate sector was not affected as much, by the transitory shocks of the Great Recession. As for the 1997 event, the HS Index is impacted greatly in the after period crisis exhibiting higher degree of multifractality and heterogeneity.
ISSN: 03784371
Other Identifiers: 10.1016/j.physa.2017.12.104
Appears in Collections:Department of Balkan, Slavic & Oriental Studies

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