  The multifractal detrended fluctuation analysis technique is employed to
analyze the time series of gold consumer price index (CPI) and the market trend
of three world's highest gold consuming countries, namely China, India and
Turkey for the period: 1993-July 2013. Various multifractal variables, such as
the generalized Hurst exponent, the multifractal exponent and the singularity
spectrum, are calculated and the results are fitted to the generalized binomial
multifractal (GBM) series that consists of only two parameters. Special
emphasis is given to identify the possible source(s) of multifractality in
these series. Our analysis shows that the CPI series and all three market
series are of multifractal nature. The origin of multifractality for the CPI
time series and Indian market series is found due to a long-range time
correlation, whereas it is mostly due to the fat-tailed probability
distributions of the values for the Chinese and Turkey markets. The GBM model
series more or less describes all the time series analyzed here.
