Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm

被引：37

作者：

Zhou, Weijie ^{[1
]}

Dang, Yaoguo ^{[1
]}

Gu, Rongbao ^{[2
]}

机构：

[1] Nanjing Univ Aeronaut & Astronaut, Coll Econ & Management, Nanjing 210016, PR, Peoples R China

[2] Nanjing Univ Finance & Econ, Sch Finance, Nanjing 315100, Peoples R China

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2013年 / 392卷 / 06期

基金：

美国国家科学基金会;

关键词：

China securities index 300; Efficiency; Multifractality; MFDMA; CHINESE STOCK-MARKET; CRUDE-OIL MARKETS; NONSTATIONARY TIME-SERIES; FLUCTUATION ANALYSIS; CAPITAL-MARKETS; HURST EXPONENT; LONG MEMORY; VOLATILITY; PRICES; INDEX;

D O I：

10.1016/j.physa.2012.11.044

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We apply the multifractal detrending moving average (MFDMA) to investigate and compare the efficiency and multifractality of 5-min high-frequency China Securities Index 300 (CSI 300). The results show that the CSI 300 market becomes closer to weak-form efficiency after the introduction of CSI 300 future. We find that the CSI 300 is featured by multifractality and there are less complexity and risk after the CSI 300 index future was introduced. With the shuffling, surrogating and removing extreme values procedures, we unveil that extreme events and fat-distribution are the main origin of multifractality. Besides, we discuss the knotting phenomena in multifractality, and find that the scaling range and the irregular fluctuations for large scales in the F-q(s) vs s plot can cause a knot. (c) 2012 Elsevier B.V. All rights reserved.

引用

页码：1429 / 1438

页数：10

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