The Fractal Signature of Emerging Markets: A Comparative Analysis of Multifractality, Memory, and Risk Profiles in E7 Stock Indices

Küçükçolak R. A., Bozkurt Ateş G., İlter Küçükçolak N., Küçükoğlu S.

FRACTAL AND FRACTIONAL, cilt.10, sa.7, ss.1-25, 2026 (SCI-Expanded, Scopus)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 10 Sayı: 7
  • Basım Tarihi: 2026
  • Doi Numarası: 10.3390/fractalfract10070460
  • Dergi Adı: FRACTAL AND FRACTIONAL
  • Derginin Tarandığı İndeksler: Academic Search Ultimate (EBSCO), Scopus, Materials Science & Engineering Collection (ProQuest), Technology Collection (ProQuest), Science Citation Index Expanded (SCI-EXPANDED), INSPEC, Directory of Open Access Journals
  • Sayfa Sayıları: ss.1-25
  • İstanbul Ticaret Üniversitesi Adresli: Evet

Özet

Each financial market carries a unique “fractal signature” with its own distinct risk and

return pattern. This study comparatively deciphers these fractal signatures of the leading

stock market indices of the Emerging Seven (E7) countries (Turkey, India, Brazil, Mexico,

Russia, China, Indonesia), using Multifractal Detrended Fluctuation Analysis (MFDFA)

with data covering the 2021–2025 period. The findings reveal that all examined markets

deviate from the classical random walk model and exhibit distinct multifractal characteristics.

However, significant differences were observed among these signatures: in contrast

to Russia’s chaotic structure, which showed extreme fragility to geopolitical shocks, the

Chinese and Mexican markets presented a more stable and homogeneous risk profile. In all

indices, it was found that small-scale fluctuations carry a strong long-memory effect (stable

trends), while large-scale fluctuations assume a more random character (sudden shocks).

This asymmetric behavior confirms the heterogeneous nature of investor expectations. For

example, the generalized Hurst exponents H(q) ranged from 0.22 (RTS, Russia) to 0.73

(BIST100, Turkey), and the spectrum width Δα varied between 0.10 (Mexico) and 0.45

(Russia), confirming significant heterogeneity in market complexity. Turkey’s BIST100

index, with its structure encompassing both predictable and sudden-shock-prone dynamics,

occupies a balanced position within this spectrum. Consequently, the study confirms

that understanding these unique fractal signatures of emerging markets is a fundamental

prerequisite for formulating effective risk management strategies and achieving global

portfolio diversification.