Asymmetric multifractal features of the price–volume correlation in China’s gold futures market based on MF-ADCCA

Yaoqi Guo, Zhuling Yu, Chenxi Yu, Hui Cheng, Weixun Chen and Hongwei Zhang

Research in International Business and Finance, 2021, vol. 58, issue C

Abstract: In recent years, fractal theory has become a recognized research direction for explaining various complex phenomena that are difficult to constrain in the conventional efficient market hypothesis for financial markets. Moreover, because the gold futures prices are crucial to the futures market, research on the relationship between quantity and price is important for understanding market fluctuations. Therefore, this paper conducts an empirical analysis of the multifractal features and asymmetry in the price–volume correlation of China’s gold futures market based on the multifractal asymmetric detrended cross-correlation analysis method11Multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA) method. . Results show that the cross-correlation between market price and volume is asymmetric and multifractal and that multifractal features are stronger when the price increases compared with when it declines. Moreover, the multifractal features vary over time. These findings indicate that the risk of China’s gold futures market will change with the price trend over time.

Keywords: Economic statistics; Multifractal; MF-ADCCA; Gold futures; Price–volume relationship; Asymmetry (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921001161

DOI: 10.1016/j.ribaf.2021.101495

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