Multifractal cross-correlation spectra analysis on Chinese stock markets

Xiaojun Zhao; Pengjian Shang; Wenbin Shi

doi:10.1016/j.physa.2014.01.066

Multifractal cross-correlation spectra analysis on Chinese stock markets

Xiaojun Zhao^*, Pengjian Shang, Wenbin Shi

^*Corresponding author for this work

Beijing Jiaotong University

Research output: Contribution to journal › Article › peer-review

28 Citations (Scopus)

Abstract

In this paper, the long-range cross-correlation of Chinese stock indices is systematically studied. The multifractal detrended cross-correlation analysis (MF-DXA) appears to be one of the most effective methods in detecting long-range cross-correlation of two non-stationary variables. The Legendre spectrum and the large deviations spectrum are extended to the cross-correlation case, so as to present multifractal structure of stock return and volatility series. It is characterized of the multifractality in Chinese stock markets, partly due to clusters of local detrended covariance with large and small magnitudes.

Original language	English
Pages (from-to)	84-92
Number of pages	9
Journal	Physica A: Statistical Mechanics and its Applications
Volume	402
DOIs	https://doi.org/10.1016/j.physa.2014.01.066
Publication status	Published - 15 May 2014
Externally published	Yes

Keywords

Chinese stock index
Cross-correlation
Large deviations spectrum
Legendre spectrum
MF-DXA

Access to Document

10.1016/j.physa.2014.01.066

Cite this

@article{f08f8b4c80f143c08f01da2dd3e9f4fa,

title = "Multifractal cross-correlation spectra analysis on Chinese stock markets",

abstract = "In this paper, the long-range cross-correlation of Chinese stock indices is systematically studied. The multifractal detrended cross-correlation analysis (MF-DXA) appears to be one of the most effective methods in detecting long-range cross-correlation of two non-stationary variables. The Legendre spectrum and the large deviations spectrum are extended to the cross-correlation case, so as to present multifractal structure of stock return and volatility series. It is characterized of the multifractality in Chinese stock markets, partly due to clusters of local detrended covariance with large and small magnitudes.",

keywords = "Chinese stock index, Cross-correlation, Large deviations spectrum, Legendre spectrum, MF-DXA",

author = "Xiaojun Zhao and Pengjian Shang and Wenbin Shi",

year = "2014",

month = may,

day = "15",

doi = "10.1016/j.physa.2014.01.066",

language = "English",

volume = "402",

pages = "84--92",

journal = "Physica A: Statistical Mechanics and its Applications",

issn = "0378-4371",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Multifractal cross-correlation spectra analysis on Chinese stock markets

AU - Zhao, Xiaojun

AU - Shang, Pengjian

AU - Shi, Wenbin

PY - 2014/5/15

Y1 - 2014/5/15

N2 - In this paper, the long-range cross-correlation of Chinese stock indices is systematically studied. The multifractal detrended cross-correlation analysis (MF-DXA) appears to be one of the most effective methods in detecting long-range cross-correlation of two non-stationary variables. The Legendre spectrum and the large deviations spectrum are extended to the cross-correlation case, so as to present multifractal structure of stock return and volatility series. It is characterized of the multifractality in Chinese stock markets, partly due to clusters of local detrended covariance with large and small magnitudes.

AB - In this paper, the long-range cross-correlation of Chinese stock indices is systematically studied. The multifractal detrended cross-correlation analysis (MF-DXA) appears to be one of the most effective methods in detecting long-range cross-correlation of two non-stationary variables. The Legendre spectrum and the large deviations spectrum are extended to the cross-correlation case, so as to present multifractal structure of stock return and volatility series. It is characterized of the multifractality in Chinese stock markets, partly due to clusters of local detrended covariance with large and small magnitudes.

KW - Chinese stock index

KW - Cross-correlation

KW - Large deviations spectrum

KW - Legendre spectrum

KW - MF-DXA

UR - http://www.scopus.com/inward/record.url?scp=84894160759&partnerID=8YFLogxK

U2 - 10.1016/j.physa.2014.01.066

DO - 10.1016/j.physa.2014.01.066

M3 - Article

AN - SCOPUS:84894160759

SN - 0378-4371

VL - 402

SP - 84

EP - 92

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

ER -

Multifractal cross-correlation spectra analysis on Chinese stock markets

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this