EconPapers    
Economics at your fingertips  
 

Asymmetric joint multifractal analysis in Chinese stock markets

Yuwen Chen and Tingting Zheng

Physica A: Statistical Mechanics and its Applications, 2017, vol. 471, issue C, 10-19

Abstract: 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)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437116308573
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:471:y:2017:i:c:p:10-19

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
Series data maintained by Dana Niculescu ().

 
Page updated 2017-09-29
Handle: RePEc:eee:phsmap:v:471:y:2017:i:c:p:10-19