International investors and the multifractality property: Evidence from accessible and inaccessible market

Songsong Li, Nan Xu and Xiaofeng Hui

Physica A: Statistical Mechanics and its Applications, 2020, vol. 559, issue C

Abstract: This study provides the evidence that the transactions of international investors in the stock market exacerbate the degree of market multifractality. We analyze shares cross-listed in an accessible market (H-shares in Hong Kong) and an inaccessible market (A-shares in mainland China) by applying the method of multifractal detrended fluctuation analysis (MF-DFA) from 01 January 2010 to 31 December 2019. The results based on MF-DFA confirm that the degree of multifractality in the accessible market is much stronger than the inaccessible market and intensifies with the increasing openness of the stock market. We find that the participations of international investors enhance the strength of multifractality by affecting both the long-range correlations and the fat tail distribution of the return series. Besides, the results also verify the impact of the stock market crash on multifractal strength.

Keywords: Multifractality; Cross-listed; Accessible and inaccessible market; Market crash (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:559:y:2020:i:c:s0378437120305367

DOI: 10.1016/j.physa.2020.125029

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