An Investigation into the Multifractal Characteristics of the TAIEX Stock Exchange Index in Taiwan

An Investigation into the Multifractal Characteristics of the TAIEX Stock Exchange Index in Taiwan

This paper analyzes the minute-by-minute variations of the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) over eight years by using the box-counting multifractal spectum f(). The results reveal that the daily return R is directly correlated with the absolute value of for that day while a positive or negative sign of is related to an increasing or decreasing return, respectively The gain probability (G%) and the index increase probability (N%) attain 65 74 % when has a positive value and 8 32 % when has a negative value, but both converge toward 50 % with the number of days considered when computing the value of increases. With regard to prediction of the future index movement the results show that the sign sequences of provide a more reliable predictive performance than those of the index variation parameter . The correlation between the risk measurement parameter and the increasing or decreasing tendency of the TAIEX price index is also examined in this paper and results are opposite to those presented for the SSEC index in China thus suggesting that the phenomenon is market dependent.

This paper analyzes the minute-by-minute variations of the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) over eight years by using the box-counting multifractal spectum f(). The results reveal that the daily return R is directly correlated with the absolute value of for that day while a positive or negative sign of is related to an increasing or decreasing return, respectively The gain probability (G%) and the index increase probability (N%) attain 65 74 % when has a positive value and 8 32 % when has a negative value, but both converge toward 50 % with the number of days considered when computing the value of increases. With regard to prediction of the future index movement the results show that the sign sequences of provide a more reliable predictive performance than those of the index variation parameter . The correlation between the risk measurement parameter and the increasing or decreasing tendency of the TAIEX price index is also examined in this paper and results are opposite to those presented for the SSEC index in China thus suggesting that the phenomenon is market dependent.