Multifractal properties of Chinese stock market in Shanghai

Guoxiong Du and Xuanxi Ning

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 1, 261-269

Abstract: In this article, we apply three methods of multifractal analysis, partition function method, singular spectrum method and multifractal detrended fluctuation analysis method, to analyze the closing index fluctuations of Shanghai stock market during the past seven years. We have found that Shanghai stock market has weak multifractal features and there are long-range power-law correlations between index series. The shapes of singular spectrums do not change with time scales and their strengths weaken when the scales shorten. But when the orders of partition function increase, the strengths of multifractal increase, the singular spectrums become rougher and the general Hurst exponents decrease. These results provide solid and important values for further study on the dynamic mechanism of stock market price fluctuation.

Keywords: Multifractal analysis; Stock index fluctuation; Chinese stock market (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:1:p:261-269

DOI: 10.1016/j.physa.2007.08.024

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