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Extreme values in the Chinese and American stock markets based on detrended fluctuation analysis

Cao Guangxi and Minjia Zhang

Physica A: Statistical Mechanics and its Applications, 2015, vol. 436, issue C, 25-35

Abstract: This paper focuses on the comparative analysis of extreme values in the Chinese and American stock markets based on the detrended fluctuation analysis (DFA) algorithm using the daily data of Shanghai composite index and Dow Jones Industrial Average. The empirical results indicate that the multifractal detrended fluctuation analysis (MF-DFA) method is more objective than the traditional percentile method. The range of extreme value of Dow Jones Industrial Average is smaller than that of Shanghai composite index, and the extreme value of Dow Jones Industrial Average is more time clustering. The extreme value of the Chinese or American stock markets is concentrated in 2008, which is consistent with the financial crisis in 2008. Moreover, we investigate whether extreme events affect the cross-correlation between the Chinese and American stock markets using multifractal detrended cross-correlation analysis algorithm. The results show that extreme events have nothing to do with the cross-correlation between the Chinese and American stock markets.

Keywords: Multifractal; DFA; Extreme value; Cross-correlation; Stock market (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:436:y:2015:i:c:p:25-35

DOI: 10.1016/j.physa.2015.05.024

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

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