Non-linear characteristics and long-range correlations in Asian stock markets

J. Jiang, K. Ma and X. Cai

Physica A: Statistical Mechanics and its Applications, 2007, vol. 378, issue 2, 399-407

Abstract: We test several non-linear characteristics of Asian stock markets, which indicates the failure of efficient market hypothesis and shows the essence of fractal of the financial markets. In addition, by using the method of detrended fluctuation analysis (DFA) to investigate the long range correlation of the volatility in the stock markets, we find that the crossover phenomena exist in the results of DFA. Further, in the region of small volatility, the scaling behavior is more complicated; in the region of large volatility, the scaling exponent is close to 0.5, which suggests the market is more efficient. All these results may indicate the possibility of characteristic multifractal scaling behaviors of the financial markets.

Keywords: Non-linear characteristic; Volatility; Long range correlation; Detrended fluctuation analysis; Crossover phenomena (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (31)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:378:y:2007:i:2:p:399-407

DOI: 10.1016/j.physa.2006.12.011

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