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Asymmetric joint multifractal analysis in Chinese stock markets

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  • Chen, Yuwen
  • Zheng, Tingting

Abstract

In this paper, the asymmetric joint multifractal analysis method based on statistical physics is proposed to explore the asymmetric correlation between daily returns and trading volumes in Chinese stock markets. The result shows asymmetric multifractal correlations exist between return and trading volume in Chinese stock markets. Moreover, when the stock indexes are upward, the fluctuations of returns are always weaker than when they are downward, whether the trading volumes are more or less.

Suggested Citation

  • Chen, Yuwen & Zheng, Tingting, 2017. "Asymmetric joint multifractal analysis in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 10-19.
    • Handle: RePEc:eee:phsmap:v:471:y:2017:i:c:p:10-19
    DOI: 10.1016/j.physa.2016.11.052
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    References listed on IDEAS

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    1. Yao, Can-Zhong & Mo, Yi-Na & Zhang, Ze-Kun, 2021. "A study of the efficiency of the Chinese clean energy stock market and its correlation with the crude oil market based on an asymmetric multifractal scaling behavior analysis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).

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