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

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Cited by:

  1. Naeem, Muhammad Abubakr & Bouri, Elie & Peng, Zhe & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2021. "Asymmetric efficiency of cryptocurrencies during COVID19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  2. Ruan, Qingsong & Zhang, Manqian & Lv, Dayong & Yang, Haiquan, 2018. "SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1009-1022.
  3. Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
  4. 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.
  5. Kakinaka, Shinji & Umeno, Ken, 2022. "Cryptocurrency market efficiency in short- and long-term horizons during COVID-19: An asymmetric multifractal analysis approach," Finance Research Letters, Elsevier, vol. 46(PA).
  6. Dong Liu & Mingjie Luo & Qiang Fu & Yongjia Zhang & Khan Imran & Dan Zhao & Tianxiao Li & Faiz Abrar, 2016. "Precipitation Complexity Measurement Using Multifractal Spectra Empirical Mode Decomposition Detrended Fluctuation Analysis," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(2), pages 505-522, January.
  7. Zhang, Chen & Ni, Zhiwei & Ni, Liping, 2016. "Asymmetric multiscale behavior in PM2.5 time series: Based on asymmetric MS-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 355-365.
  8. Kristjanpoller, Werner & Bouri, Elie & Takaishi, Tetsuya, 2020. "Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  9. Ayoub Ammy-Driss & Matthieu Garcin, 2021. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Working Papers hal-02903655, HAL.
  10. 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.
  11. Ayoub Ammy-Driss & Matthieu Garcin, 2020. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Papers 2007.10727, arXiv.org, revised Nov 2021.
  12. 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.
  13. Wang, Jian & Huang, Menghao & Zhang, Yudong & Kim, Junseok, 2022. "Modification of multifractal analysis based on multiplicative cascade image," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
  14. Yun-Jung Lee & Neung-Woo Kim & Ki-Hong Choi & Seong-Min Yoon, 2020. "Analysis of the Informational Efficiency of the EU Carbon Emission Trading Market: Asymmetric MF-DFA Approach," Energies, MDPI, vol. 13(9), pages 1-14, May.
  15. Yao, Can-Zhong & Lin, Ji-Nan & Zheng, Xu-Zhou, 2017. "Coupling detrended fluctuation analysis for multiple warehouse-out behavioral sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 75-90.
  16. Wang, Qizhen & Zhu, Yingming & Yang, Liansheng & Mul, Remco A.H., 2017. "Coupling detrended fluctuation analysis of Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 337-350.
  17. Chi Zhang & Zhengning Pu & Jiasha Fu, 2018. "The Recurrence Interval Difference of Power Load in Heavy/Light Industries of China," Energies, MDPI, vol. 11(1), pages 1-20, January.
  18. Mensi, Walid & Lee, Yun-Jung & Al-Yahyaee, Khamis Hamed & Sensoy, Ahmet & Yoon, Seong-Min, 2019. "Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis," Finance Research Letters, Elsevier, vol. 31(C), pages 19-25.
  19. Kentaro Imajo & Kentaro Minami & Katsuya Ito & Kei Nakagawa, 2020. "Deep Portfolio Optimization via Distributional Prediction of Residual Factors," Papers 2012.07245, arXiv.org.
  20. Liu, Junlin & Chen, Feier, 2018. "Asymmetric volatility varies in different dry bulk freight rate markets under structure breaks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 316-327.
  21. 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.
  22. Mensi, Walid & Sensoy, Ahmet & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  23. Naeem, Muhammad Abubakr & Karim, Sitara & Farid, Saqib & Tiwari, Aviral Kumar, 2022. "Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 548-562.
  24. Naeem, Muhammad Abubakr & Farid, Saqib & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2021. "Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis," Energy Policy, Elsevier, vol. 153(C).
  25. Shahzad, Syed Jawad Hussain & Bouri, Elie & Kayani, Ghulam Mujtaba & Nasir, Rana Muhammad & Kristoufek, Ladislav, 2020. "Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
  26. Dai, Meifeng & Hou, Jie & Gao, Jianyu & Su, Weiyi & Xi, Lifeng & Ye, Dandan, 2016. "Mixed multifractal analysis of China and US stock index series," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 268-275.
  27. Yang, Liansheng & Zhu, Yingming & Wang, Yudong, 2016. "Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 357-365.
  28. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Upside-Downside Multifractality and Efficiency of Green Bonds: The Roles of Global Factors and COVID-19," Finance Research Letters, Elsevier, vol. 43(C).
  29. Shen, Na & Chen, Jiayi, 2023. "Asymmetric multifractal spectrum distribution based on detrending moving average cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
  30. Mensi, Walid & Lee, Yun-Jung & Vinh Vo, Xuan & Yoon, Seong-Min, 2021. "Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  31. Cao, Guangxi & Han, Yan & Li, Qingchen & Xu, Wei, 2017. "Asymmetric MF-DCCA method based on risk conduction and its application in the Chinese and foreign stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 119-130.
  32. Gajardo, Gabriel & Kristjanpoller, Werner D. & Minutolo, Marcel, 2018. "Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 195-205.
  33. 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.
  34. Cao, Guangxi & Zhang, Qi & Li, Qingchen, 2017. "Causal relationship between the global foreign exchange market based on complex networks and entropy theory," Chaos, Solitons & Fractals, Elsevier, vol. 99(C), pages 36-44.
  35. Lahmiri, Salim, 2015. "Long memory in international financial markets trends and short movements during 2008 financial crisis based on variational mode decomposition and detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 130-138.
  36. Cao, Guangxi & Xu, Wei, 2016. "Multifractal features of EUA and CER futures markets by using multifractal detrended fluctuation analysis based on empirical model decomposition," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 212-222.
  37. 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).
  38. Fan, Qingju, 2016. "Asymmetric multiscale detrended fluctuation analysis of California electricity spot price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 252-260.
  39. Mensi, Walid & Hamdi, Atef & Yoon, Seong-Min, 2018. "Modelling multifractality and efficiency of GCC stock markets using the MF-DFA approach: A comparative analysis of global, regional and Islamic markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1107-1116.
  40. Tao Yin & Yiming Wang, 2021. "Market Efficiency and Nonlinear Analysis of Soybean Futures," Sustainability, MDPI, vol. 13(2), pages 1-10, January.
  41. Zhuang, Xiaoyang & Wei, Dan, 2022. "Asymmetric multifractality, comparative efficiency analysis of green finance markets: A dynamic study by index-based model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  42. Zhang, Chen & Ni, Zhiwei & Ni, Liping & Li, Jingming & Zhou, Longfei, 2016. "Asymmetric multifractal detrending moving average analysis in time series of PM2.5 concentration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 322-330.
  43. Wang, Qizhen, 2019. "Multifractal characterization of air polluted time series in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 167-180.
  44. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Upward/downward multifractality and efficiency in metals futures markets: The impacts of financial and oil crises," Resources Policy, Elsevier, vol. 76(C).
  45. 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.
  46. Choi, Sun-Yong, 2021. "Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  47. Cao, Guangxi & Jiang, Min & He, LingYun, 2018. "Comparative analysis of grey detrended fluctuation analysis methods based on empirical research on China’s interest rate market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 156-169.
  48. Lahmiri, Salim, 2016. "Clustering of Casablanca stock market based on hurst exponent estimates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 310-318.
  49. Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
  50. Fang, Wen & Tian, Shaolin & Wang, Jun, 2018. "Multiscale fluctuations and complexity synchronization of Bitcoin in China and US markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 109-120.
  51. Gajardo, Gabriel & Kristjanpoller, Werner, 2017. "Asymmetric multifractal cross-correlations and time varying features between Latin-American stock market indices and crude oil market," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 121-128.
  52. 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).
  53. Dong Liu & Mingjie Luo & Qiang Fu & Yongjia Zhang & Khan M. Imran & Dan Zhao & Tianxiao Li & Faiz M. Abrar, 2016. "Precipitation Complexity Measurement Using Multifractal Spectra Empirical Mode Decomposition Detrended Fluctuation Analysis," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(2), pages 505-522, January.
  54. Meraz, M. & Alvarez-Ramirez, J. & Echeverria, J.C., 2017. "Asymmetric correlations in the ozone concentration dynamics of the Mexico City Metropolitan Area," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 377-386.
  55. 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.
  56. Lee, Minhyuk & Song, Jae Wook & Park, Ji Hwan & Chang, Woojin, 2017. "Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA," Chaos, Solitons & Fractals, Elsevier, vol. 97(C), pages 28-38.
  57. Ruan, Qingsong & Cui, Hao & Fan, Liming, 2020. "China’s soybean crush spread: Nonlinear analysis based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
  58. Yao, Can-Zhong & Liu, Cheng & Ju, Wei-Jia, 2020. "Multifractal analysis of the WTI crude oil market, US stock market and EPU," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
  59. Cao, Guangxi & Ling, Meijun, 2022. "Asymmetry and conduction direction of the interdependent structure between cryptocurrency and US dollar, renminbi, and gold markets," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
  60. Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Tiwari, Aviral Kumar & Farid, Saqib, 2023. "Comparing asymmetric price efficiency in regional ESG markets before and during COVID-19," Economic Modelling, Elsevier, vol. 118(C).
  61. Ko, Bonggyun & Song, Jae Wook, 2018. "A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 398-412.
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