This paper analyzes the minute-by-minute variations of the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) over eight years using box-counting multifractal spectra . The results reveal that the daily return R is directly correlated with the absolute value of for that day, while a positive or negative sign of is related to an increasing or decreasing return, respectively. The gain probability (G%) and index increase probability (N%) attain 65~74% when has a positive value and 8~32% when has a negative value, but both converge toward 50% as the number of days considered when computing the value of increases. With regard to prediction of the future index movement, the results show that the sign sequences of provides a more reliable predictive performance than that of the index variation parameter . The correlation between the risk measurement parameter and the increasing or decreasing tendency of the TAIEX price index is also examined in this paper, and results are opposite to those presented for the SSEC index in China. It is thus suggested that the phenomenon is market dependent.
