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Analysis of the efficiency of the Shanghai stock market: A volatility perspective

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  • Lin, Xiaoqiang
  • Fei, Fangyu
  • Wang, Yudong

Abstract

By applying the rolling window method, we investigate the efficiency of the Shanghai stock market through the dynamic changes of local Hurst exponents based on multifractal detrended fluctuation analysis. We decompose the realized volatility into continuous sample paths and jump components and analyze their long-range correlations of decomposing components. Our results reveal that the efficiency of the Shanghai stock market improved greatly based on the time-varying Hurst exponents.

Suggested Citation

  • Lin, Xiaoqiang & Fei, Fangyu & Wang, Yudong, 2011. "Analysis of the efficiency of the Shanghai stock market: A volatility perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3486-3495.
    • Handle: RePEc:eee:phsmap:v:390:y:2011:i:20:p:3486-3495
    DOI: 10.1016/j.physa.2011.05.017
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    7. Arshad, Shaista & Rizvi, Syed Aun R. & Ghani, Gairuzazmi Mat & Duasa, Jarita, 2016. "Investigating stock market efficiency: A look at OIC member countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 402-413.
    8. Reboredo, Juan C. & Rivera-Castro, Miguel A. & Miranda, José G.V. & García-Rubio, Raquel, 2013. "How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1631-1637.
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    10. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.

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