Multifractal Properties of the Industry Indices for Chinese and Japanese Stock Markets

Assessing the stock price indices is the foundation of forecasting the market risk. Multifractal has lots of advantage when explain the volatility of the stock prices. In order to analyze and compare the multifractal properties of Chinese and Japanese stock markets in the last decade, the empirical research is brought forward to daily industrial indices of the two stock markets via multifractal detrended fluctuation analysis (MF-DFA). After MF-DFA, this manuscript measures the market risk by calculating the average fractal dimension which can directly indicate roughness of the logarithmic return's scatter diagram on the 2-D plane. According to the results drawn, (i) all the two stock markets' industry indices have the multifractal features, but the multifractal spectrums differ greatly from each other, (ii) the largest fluctuations are more frequent in Chinese stock market, (iii) Chinese stock market volatility is larger than Japanese stock market volatility.