This study employs segmented multifractal analysis to evaluate the efficiency of key financial markets in North Africa. The proposed method, an adapted version of Multifractal Detrended Fluctuation Analysis (MF-DFA), integrates a wavelet-based change-point detection to identify and separate the two most dynamically changing phases. Subsequent multifractal measurements are then conducted for each of these identified intervals. Focusing on three equity indices—the Egyptian Exchange Index (EGX30), Moroccan All Shares Index (MASI), and Tunisian Stock Index (Tunindex)–that collectively represent the North African financial and economic landscape, empirical results reveal significant asymmetric multifractality, especially notable in the two Maghreban indices. These findings prompt inquiries into the influence of major events on financial market efficiency. Segmented multifractal analysis introduces a novel approach to explore the dynamics and resilience of these sectors, contributing to a more profound understanding of their complex behaviors and responses to various stimuli.

中文翻译：

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用于评估北非股票市场效率低下的分段多重分形去趋势波动分析

本研究采用分段多重分形分析来评估北非主要金融市场的效率。所提出的方法是多重分形去趋势波动分析（MF-DFA）的改编版本，集成了基于小波的变化点检测来识别和分离两个最动态变化的阶段。然后对这些确定的间隔中的每一个进行后续的多重分形测量。重点关注共同代表北非金融和经济格局的三个股票指数——埃及交易所指数 (EGX30)、摩洛哥全股指数 (MASI) 和突尼斯股票指数 (Tunindex)，实证结果揭示了显着的不对称多重分形，尤其值得注意在两个马格里布指数中。这些发现促使人们探究重大事件对金融市场效率的影响。分段多重分形分析引入了一种新方法来探索这些部门的动态和弹性，有助于更深刻地理解它们的复杂行为和对各种刺激的反应。