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Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm

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  • Zhou, Weijie
  • Dang, Yaoguo
  • Gu, Rongbao
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    Abstract

    We apply the multifractal detrending moving average (MFDMA) to investigate and compare the efficiency and multifractality of 5-min high-frequency China Securities Index 300 (CSI 300). The results show that the CSI 300 market becomes closer to weak-form efficiency after the introduction of CSI 300 future. We find that the CSI 300 is featured by multifractality and there are less complexity and risk after the CSI 300 index future was introduced. With the shuffling, surrogating and removing extreme values procedures, we unveil that extreme events and fat-distribution are the main origin of multifractality. Besides, we discuss the knotting phenomena in multifractality, and find that the scaling range and the irregular fluctuations for large scales in the Fq(s) vs s plot can cause a knot.

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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): 6 ()
    Pages: 1429-1438

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    Handle: RePEc:eee:phsmap:v:392:y:2013:i:6:p:1429-1438

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

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    Keywords: China securities index 300; Efficiency; Multifractality; MFDMA;

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