Upward and Downward Multifractality and Efficiency of Chinese and Hong Kong Stock Markets

Walid Mensi (), Xuan Vinh Vo () and Sang Hoon Kang ()
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Walid Mensi: College of Economics and Political Science, Sultan Qaboos University
Xuan Vinh Vo: University of Economics Ho Chi Minh City
Sang Hoon Kang: Pusan National University

Computational Economics, 2024, vol. 64, issue 6, No 3, 3207-3242

Abstract: Abstract This study examines the upward and downward multifractality, long-memory process, and efficiency of the Shanghai stock exchange composite index of mainland China and the Hang Seng index (HSI) of Hong Kong using the symmetric multifractal detrended fluctuation analysis (MF-DFA), asymmetric MF-DFA (A-MF-DFA), and the Hurst exponent. The results reveal significant differences in upward and downward multifractality, indicating asymmetric multifractality regardless of the frequencies. Moreover, we find evidence of excess asymmetry in multifractality for both markets and for all frequencies, which is more pronounced during downward stock price movements for Hang Seng Index (HSI) markets. The Hong Kong market is less inefficient than Chinese markets. Additionally, Bitcoin (BTC) volumes and BTC trading capitalizations affect the efficiency level across quantiles. Finally, robustness tests confirm our results are robust.

Keywords: Asian stock markets; Bitcoin; High frequency; Hurst exponent; A-MF-DFA (search for similar items in EconPapers)
JEL-codes: C58 G14 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10614-023-10526-9

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