Asymmetric joint multifractal analysis in Chinese stock markets
Yuwen Chen and
Physica A: Statistical Mechanics and its Applications, 2017, vol. 471, issue C, 10-19
In this paper, the asymmetric joint multifractal analysis method based on statistical physics is proposed to explore the asymmetric correlation between daily returns and trading volumes in Chinese stock markets. The result shows asymmetric multifractal correlations exist between return and trading volume in Chinese stock markets. Moreover, when the stock indexes are upward, the fluctuations of returns are always weaker than when they are downward, whether the trading volumes are more or less.
Keywords: Asymmetric joint multifractal; Joint multifractal; Multifractal spectrum; Return; Trading volume (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:471:y:2017:i:c:p:10-19
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