Coupling detrended fluctuation analysis of Asian stock markets

Qizhen Wang, Yingming Zhu, Liansheng Yang and Remco A.H. Mul

Physica A: Statistical Mechanics and its Applications, 2017, vol. 471, issue C, 337-350

Abstract: This paper uses the coupling detrended fluctuation analysis (CDFA) method to investigate the multifractal characteristics of four Asian stock markets using three stock indices: stock price returns, trading volumes and the composite index. The results show that coupled correlations exist among the four stock markets and the coupled correlations have multifractal characteristics. We then use the chi square (χ2) test to identify the sources of multifractality. For the different stock indices, the contributions of a single series to multifractality are different. In other words, the contributions of each country to coupled correlations are different. The comparative analysis shows that the research on the combine effect of stock price returns and trading volumes may be more comprehensive than on an individual index. By comparing the strength of multifractality for original data with the residual errors of the vector autoregression (VAR) model, we find that the VAR model could not be used to describe the dynamics of the coupled correlations among four financial time series.

Keywords: CDFA; Asian stock market; Vector autoregression analysis; Stock indices (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:471:y:2017:i:c:p:337-350

DOI: 10.1016/j.physa.2016.12.076

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