Multiscale Multifractal Detrended Fluctuation Analysis and Trend Identification of Liquidity in the China's Stock Markets

Ruzhen Yan, Ding Yue, Xu Wu () and Wei Gao
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Ruzhen Yan: Chengdu University of Technology
Ding Yue: Chengdu University of Technology
Xu Wu: Chengdu University of Technology
Wei Gao: Sichuan Agricultural University

Computational Economics, 2023, vol. 61, issue 2, No 1, 487-511

Abstract: Abstract This paper concerns an investigation on the multifractal features of liquidity in China's stock markets based on multifractal detrended fluctuation analysis, and an analysis on multifractal features of market liquidity and fractal degree by determining the generalized Hurst exponent. Also involved in this paper are the identification of the trended fluctuations by tendency entropy dimension and a study on the validity of the correct rate of identification by stochastic correct rate. The results show that the multifractal features of liquidity are obvious in China's stock markets and that the multifractal liquidity degree of the large-cap stock is lower than those of the medium and small-cap stocks. The trend entropy dimension can be used to identify the trend of liquidity effectively, serving as an effective method to identify the fluctuation trend of fractal market.

Keywords: Liquidity; Multifractal detrended fluctuation analysis; Tendency entropy dimension; China's stock markets (search for similar items in EconPapers)
JEL-codes: C53 G14 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10614-021-10215-5

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