Origin of the multifractality of the Korean stock-market index

We consider multifractality in the Korean stock-market index KOSPI. KOSPI indices show multifractal properties. There are two scaling regions with a crossover time around t(c) = 40 min. We smooth the data through convolution, with a Gaussian function. After convolution we observe that the multi fractality disappears in the short-time scaling region t < t(c) but remains in the long-time scaling region t > t(c) regardless of whether or not the daily jumps are removed. We suggest that multifractality in the short-time scaling region is caused by the local fluctuations of the stock index. However, the multifractality in the long-time scaling region appears to be due to the intrinsic trading properties.