Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis

Liansheng Yang, Yingming Zhu and Yudong Wang

Physica A: Statistical Mechanics and its Applications, 2016, vol. 451, issue C, 357-365

Abstract: In this paper, we investigate the impacts of oil price changes on energy stocks in Chinese stock market from the multifractal perspective. The well-known multifractal detrended fluctuation analysis (MF-DFA) is applied to detect the multifractality. We find that both returns and volatilities of energy industry index display apparent multifractal behavior. Oil market activity is an important source of multifractality in energy stocks index in addition to long-range correlations and fat-tail distributions.

Keywords: Chinese stock market; Energy stocks; Multifractal detrended fluctuation analysis; Crude oil market; Multifractality (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:451:y:2016:i:c:p:357-365

DOI: 10.1016/j.physa.2016.01.100

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