摘要：The primary objective of this paper is to assess the behavior of long memory in price,volume, and price-volume cross-correlation series across structural breaks. The secondary objectiveis to find the appropriate structural breaks in the price series. The structural breaks in the seriesare identified using the Bai and Perron procedure, and in each segment, Multifractal DetrendedFluctuation Analysis (MFDFA) and Multifractal Detrended Cross-Correlation Analysis (MFDCCA)are conducted to capture the long memory in each series. The price series is persistent in smallfluctuations and anti-persistent in large fluctuations across all the structural segments. This confirmsthat long memory in the series is not affected by the structural breaks. Both volume and price-volumecross-correlation are anti-persistent in all the structural segments. In other words, volume acts asa carrier of the information only in the non-volatile (normal) market. The varying Hurst exponentacross the structural segments indicates the varying levels of persistence and signifies the volatilemarket. The findings of the study are useful for understanding the practical implications of theAdaptive Market Hypothesis (AMH).
