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Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA

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  • Cao, Guangxi
  • Cao, Jie
  • Xu, Longbing

Abstract

We utilized asymmetric multifractal detrended fluctuation analysis in this study to examine the asymmetric multifractal scaling behavior of Chinese stock markets with uptrends or downtrends. Results show that the multifractality degree of Chinese stock markets with uptrends is stronger than that of Chinese stock markets with downtrends. Correlation asymmetries are more evident in large fluctuations than in small fluctuations. By discussing the source of asymmetric multifractality, we find that multifractality is related to long-range correlations when the market is going up, whereas it is related to fat-tailed distribution when the market is going down. The main source of asymmetric scaling behavior in the Shanghai stock market are long-range correlations, whereas that in the Shenzhen stock market is fat-tailed distribution. An analysis of the time-varying feature of scaling asymmetries shows that the evolution trends of these scaling asymmetries are similar in the two Chinese stock markets. Major financial and economical events may enhance scaling asymmetries.

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Bibliographic Info

Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 392 (2013)
Issue (Month): 4 ()
Pages: 797-807

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Handle: RePEc:eee:phsmap:v:392:y:2013:i:4:p:797-807

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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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Keywords: Asymmetric; Multifractal; MF-DFA; Stock market;

References

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Cited by:
  1. Li, Muyi & Huang, Yongxiang, 2014. "Hilbert–Huang Transform based multifractal analysis of China stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 406(C), pages 222-229.
  2. Cao, Guangxi & Cao, Jie & Xu, Longbing & He, LingYun, 2014. "Detrended cross-correlation analysis approach for assessing asymmetric multifractal detrended cross-correlations and their application to the Chinese financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 393(C), pages 460-469.

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