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Measurement and multifractal properties of short-term international capital flows in China

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  • Ning, Ye
  • Wang, Yiming
  • Yang, Zhenyu
  • Geng, Yan

Abstract

The paper measures monthly short-term international capital flows during Jan. 2000 to Jul. 2015 in China. It is shown that, since mid-2014 the amount of short-term international capital outflows in China has increased rapidly, reaching the historical peak at 65.8 billion dollars per month in July, 2015. By conducting multifractal analysis with MF-DFA method, it is proved that China’s short-term international capital flows exhibit significant non-linear multifractal properties. Further study indicates that the long-range correlations and fat-tailed distribution both contribute to the multifractal properties, while the former is the main reason. The non-linearity of capital flows calls for non-linear tools instead of conventional linear tools to further study features of China’s short-term international capital flows or to build early warning system of international capital flow risks. The paper measures monthly short-term international capital flows during Jan. 2000 to Jul. 2015 in China. It is shown that, since mid-2014 the amount of short-term international capital outflows in China has increased rapidly, reaching the historical peak at 65.8 billion dollars per month in July, 2015. By conducting multifractal analysis with MF-DFA method, it is proved that China’s short-term international capital flows exhibit significant non-linear multifractal properties. Further study indicates that the long-range correlations and fat-tailed distribution both contribute to the multifractal properties, while the former is the main reason. The non-linearity of capital flows calls for non-linear tools instead of conventional linear tools to further study features of China’s short-term international capital flows or to build early warning system of international capital flow risks.

Suggested Citation

  • Ning, Ye & Wang, Yiming & Yang, Zhenyu & Geng, Yan, 2017. "Measurement and multifractal properties of short-term international capital flows in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 714-721.
    • Handle: RePEc:eee:phsmap:v:468:y:2017:i:c:p:714-721
    DOI: 10.1016/j.physa.2016.10.063
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    References listed on IDEAS

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    Cited by:

    1. Chenyu Han & Yiming Wang & Yingying Xu, 2019. "Efficiency and Multifractality Analysis of the Chinese Stock Market: Evidence from Stock Indices before and after the 2015 Stock Market Crash," Sustainability, MDPI, vol. 11(6), pages 1-15, March.
    2. Ning, Ye & Han, Chenyu & Wang, Yiming, 2018. "The multifractal properties of Euro and Pound exchange rates and comparisons," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 578-587.
    3. Han, Chenyu & Wang, Yiming & Ning, Ye, 2019. "Analysis and comparison of the multifractality and efficiency of Chinese stock market: Evidence from dynamics of major indexes in different boards," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 528(C), pages 1-1.
    4. Kai-Hua Wang & Chi-Wei Su & Ran Tao, 2019. "Does the Mundell-Fleming model fit in China?," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(1), pages 11-28.
    5. Han, Chenyu & Wang, Yiming & Ning, Ye, 2019. "Comparative analysis of the multifractality and efficiency of exchange markets: Evidence from exchange rates dynamics of major world currencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).

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