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- W2620596673 abstract "In this paper, long-range temporal correlations at different scales in Moroccan family business stock returns are investigated. For comparison purpose, presence of multifractality is also investigated in Casablanca Stock Exchange (CSE) major indices: MASI which is the all shares index and MADEX which is the index of most liquid shares. It is found that return series of both family business companies and major stock market indices show strong evidence of multifractality. In particular, empirical results reveal that short (long) fluctuations in family business stock returns are less (more) persistent (anti-persistent) than short fluctuations in market indices. In addition, both serial correlation and distribution characteristics significantly influence the strength of the multifractal spectrums of CSE and family business stocks returns. Furthermore, results from multifractal spectrum analysis suggest that family business stocks are less risky. Thus, such differences in price dynamics could be exploited by investors and forecasters in active portfolio management." @default.
- W2620596673 created "2017-06-09" @default.
- W2620596673 creator A5049507437 @default.
- W2620596673 date "2017-11-01" @default.
- W2620596673 modified "2023-10-03" @default.
- W2620596673 title "Multifractal analysis of Moroccan family business stock returns" @default.
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- W2620596673 doi "https://doi.org/10.1016/j.physa.2017.05.048" @default.
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