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Multifractal analysis of SSEC in Chinese stock market: A different empirical result from Heng Seng index

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  • Wei, Yu
  • Huang, Dengshi

Abstract

In this paper, high frequency (per 5min) data of Shanghai Stock Exchange Composite index (SSEC) from January 1999 to July 2001 is analyzed by multifractal. We find that the correlation of the parameters of the multifractal spectra with the variation of daily return Z in SSEC is noticeably different from that in previous studies of Heng Seng index in Hong Kong stock market [Sun et al., Phys. A 291 (2001) 553–562; Sun et al., Phys. A 301 (2001) 473–482]. So, we suppose that there may not be a universal rule for the dependence of the parameters of the multifractal spectra with daily return of a stock index. Then, we construct a new measurement of market risk based on multifractal spectra, and test its ability of predicting index fluctuations with a more thorough method than that in Sun et al. [Phys. A 301 (2001) 473–482].

Suggested Citation

  • Wei, Yu & Huang, Dengshi, 2005. "Multifractal analysis of SSEC in Chinese stock market: A different empirical result from Heng Seng index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(2), pages 497-508.
    • Handle: RePEc:eee:phsmap:v:355:y:2005:i:2:p:497-508
    DOI: 10.1016/j.physa.2005.03.027
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    References listed on IDEAS

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    1. Sun, Xia & Chen, Huiping & Yuan, Yongzhuang & Wu, Ziqin, 2001. "Predictability of multifractal analysis of Hang Seng stock index in Hong Kong," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 301(1), pages 473-482.
    2. Sun, Xia & Chen, Huiping & Wu, Ziqin & Yuan, Yongzhuang, 2001. "Multifractal analysis of Hang Seng index in Hong Kong stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 291(1), pages 553-562.
    3. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
    4. Ausloos, M., 2000. "Statistical physics in foreign exchange currency and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 48-65.
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