FRACTALITY OF CROATIAN AND SERBIAN STOCK MARKETS

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Abstract
Empirical literature explaining stock markets behaviour develops in a several directions. One strand of literature supports efficient market hypothesis while other strand of literature suggests fractal market hypothesis. Existing literature presents mixed findings on long memory property and hypothesis of stock market fractality. This paper aims to contribute to the debate and examine multifractality and long memory property of returns in Croatian and Serbian capital markets while considering the role of trading columns. Using multifractal Detrended Fluctuation Analysis and daily returns from the beginning of 2010 up to the end of 2021 for CROBEX and BELEX15 empirical finding suggested multifractality and long memory or persistence in CROBEX and BELEX15 returns. Dynamics in trading volumes exhibited multifractality but no long memory property in case of CROBEX as well as in case of BELEX15. Price-volume cross-correlation in case of CROBEX as well as in case of BELEX15 can be described as mean reverting process with no long memory property.

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