Multifractal detrended fluctuation analysis of the Chinese stock index futures market |
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Authors: | Xinsheng Lu Jie Tian Ying Zhou Zhihui Li |
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Institution: | 1. Department of Economics and Finance, SEM, Tongji University, Shanghai 200093, China;2. Center for Resource Economics and Management, Northwest A&F University, Yangling 712100, China;3. Department of Economics, Auckland University of Technology, Auckland, New Zealand;4. School of Economics, Jinan University, Jinan, China |
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Abstract: | Based on the multifractal detrended fluctuation analysis (MF-DFA) and multifractal spectrum analysis, this paper empirically studies the multifractal properties of the Chinese stock index futures market. Using a total of 2942 ten-minute closing prices, we find that the Chinese stock index futures returns exhibit long-range correlations and multifractality, making the single-scale index insufficient to describe the futures price fluctuations. Further, by comparing the original time series with the transformed time series through shuffling procedure and phase randomization procedure, we show the existence of two different sources of the multifractality for the Chinese stock index futures market. Our results suggest that the multifractality is mainly due to long-range correlations, although the fat-tailed probability distributions also contribute to such multifractal behaviour. |
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Keywords: | Multifractality Stock index futures MF-DFA Generalized Hurst exponent |
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