  The multifractal behavior for tick data of prices is investigated in Korean
financial market. Using the rescaled range analysis(R/S analysis), we show the
multifractal nature of returns for the won-dollar exchange rate and the KOSPI.
We also estimate the Hurst exponent and the generalized $q$th-order Hurst
exponent in the unversal multifractal framework. Particularly, our financial
market is a persistent process with long-run memory effects, and the
statistical value of the Hurst exponents occurs the crossovers at charateristic
time scales. It is found that the probability distribution of returns is well
consistent with a Lorentz distribution, significantly different from fat-tailed
properties.
