In this study, we apply the multifractal detrended fluctuation analysis concepts to financial time series that helps to determine the onset of a crash in the Dow Jones Industrial Average index. For the studied index we emphasize 4 the most influential stock market crashes: Wall Street Crash of 1929, Black Monday of 1987, Financial crisis of 2007–2008, and 2020 stock market crash. We present that economic crashes on a mapping with multifractality phenomena demonstrate a dynamic phase transition. Some of the presented multifractal measures appear to be analogues of free energy and specific heat, and can be used as indicators or indicators-precursors of the stock market crashes.