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Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program

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  • Zhang, Guofu
  • Li, Jingjing

Abstract

In this paper, we study the multifractal scaling behaviour in Shanghai and Hong Kong stock markets by means of multifractal detrended fluctuation analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DCCA). The results show that the multifractal degrees of each stock market are larger after the Shanghai–Hong Kong Stock Connect Program (SHSCP) than before. Scaling analysis demonstrates that multifractality exists in cross-correlations, and the cross-correlation coefficients after the SHSCP are larger than those before the SHSCP. Moreover, an analysis of the origin of multifractality indicates that long-range correlation and fat-tailed distribution play important roles in the contributions of multifractality. Finally, the results via the sliding window procedure indicate that the multifractal degrees after the SHSCP are not significantly affected by the stock market turbulence in 2015.

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  • Zhang, Guofu & Li, Jingjing, 2018. "Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 611-622.
    • Handle: RePEc:eee:phsmap:v:503:y:2018:i:c:p:611-622
    DOI: 10.1016/j.physa.2018.02.139
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    2. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(632), A), pages 61-80, Autumn.
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    5. Sun, Guanglin & Yao, Xiaoyang & Li, Jianfeng & Lu, Tongyu, 2023. "Risk linkages between China's stock market and APEC stock markets under China's market liberalization," Finance Research Letters, Elsevier, vol. 52(C).
    6. Sun, Guanglin & Li, Jianfeng & Shang, Zezhong, 2022. "Return and volatility linkages between international energy markets and Chinese commodity market," Technological Forecasting and Social Change, Elsevier, vol. 179(C).
    7. Gu, Danlei & Huang, Jingjing, 2019. "Multifractal detrended fluctuation analysis on high-frequency SZSE in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 225-235.
    8. Shao, Wei & Wang, Jian, 2020. "Does the “ice-breaking” of South and North Korea affect the South Korean financial market?," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).
    9. Mensi, Walid & Tiwari, Aviral Kumar & Al-Yahyaee, Khamis Hamed, 2019. "An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 168-177.
    10. Yang, Kun & Wei, Yu & Li, Shouwei & He, Jianmin, 2020. "Asymmetric risk spillovers between Shanghai and Hong Kong stock markets under China’s capital account liberalization," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).

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    More about this item

    Keywords

    Stock markets; SHSCP; MF-DFA; MF-DCCA; Sliding window;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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