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Analysis of efficiency for Shenzhen stock market: Evidence from the source of multifractality

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  • Liu, Li
  • Wang, Yudong
  • Wan, Jieqiu
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    Abstract

    This paper extends the work in Wang, Liu and Gu (2009) [Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis. International Review of Financial Analysis, 18, 271-276] by investigating the dynamics of two main sources of multifractality over time. Using multiscale detrended fluctuation analysis, we find that the medium-term and long-term auto-correlations of Shenzhen stock market became weaker and weaker over time but the degrees of short-term efficiency seemed to do not change. Evidence shows that the degree of the fat-tail distribution of the market returns abruptly decreased after the price-limited reform. After the reform, the degree of fat-tail distribution seemed to run an upward trend but it went down finally. From the contributions of two sources, we conclude that the multifractality generally displayed a downward trend indicating an upward trend of efficiency only in the medium- and long-term which further confirms the results in Wang, Liu and Gu (2009). We find that some abnormal "jumps" in the evolutions of short-term and medium-term correlation behaviors can be related to the abruptly exogenous events. Some problems about efficiency and operations of Shenzhen market are also discussed at last.

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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 19 (2010)
    Issue (Month): 4 (September)
    Pages: 237-241

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    Handle: RePEc:eee:finana:v:19:y:2010:i:4:p:237-241

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    Web page: http://www.elsevier.com/locate/inca/620166

    Related research

    Keywords: Multiscale analysis Detrended fluctuation analysis Shenzhen stock market Efficiency;

    References

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    Cited by:
    1. Wang, Yudong & Wu, Chongfeng, 2012. "Long memory in energy futures markets: Further evidence," Resources Policy, Elsevier, vol. 37(3), pages 261-272.

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