Multifractal analysis of SSEC in Chinese stock market: A different empirical result from Heng Seng index

Yu Wei and Dengshi Huang

Physica A: Statistical Mechanics and its Applications, 2005, vol. 355, issue 2, 497-508

Abstract: In this paper, high frequency (per 5min) data of Shanghai Stock Exchange Composite index (SSEC) from January 1999 to July 2001 is analyzed by multifractal. We find that the correlation of the parameters of the multifractal spectra with the variation of daily return Z in SSEC is noticeably different from that in previous studies of Heng Seng index in Hong Kong stock market [Sun et al., Phys. A 291 (2001) 553–562; Sun et al., Phys. A 301 (2001) 473–482]. So, we suppose that there may not be a universal rule for the dependence of the parameters of the multifractal spectra with daily return of a stock index. Then, we construct a new measurement of market risk based on multifractal spectra, and test its ability of predicting index fluctuations with a more thorough method than that in Sun et al. [Phys. A 301 (2001) 473–482].

Keywords: Econophysics; Multifractal; Market risk measurement; Predictability (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:355:y:2005:i:2:p:497-508

DOI: 10.1016/j.physa.2005.03.027

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