Analysis of the efficiency of the Shanghai stock market: A volatility perspective

Xiaoqiang Lin, Fangyu Fei and Yudong Wang

Physica A: Statistical Mechanics and its Applications, 2011, vol. 390, issue 20, 3486-3495

Abstract: By applying the rolling window method, we investigate the efficiency of the Shanghai stock market through the dynamic changes of local Hurst exponents based on multifractal detrended fluctuation analysis. We decompose the realized volatility into continuous sample paths and jump components and analyze their long-range correlations of decomposing components. Our results reveal that the efficiency of the Shanghai stock market improved greatly based on the time-varying Hurst exponents.

Keywords: Rolling windows method; Market efficiency; Hurst exponents; Realized volatility (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437111003906
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:390:y:2011:i:20:p:3486-3495

DOI: 10.1016/j.physa.2011.05.017

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().