Analysis of the efficiency of the Shanghai stock market: A volatility perspective |
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| Authors: | Xiaoqiang Lin Fangyu FeiYudong Wang |
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| Institution: | Antai College of Economics & Management, Shanghai Jiao Tong University, PR China |
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| 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. |
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| Keywords: | Rolling windows method Market efficiency Hurst exponents Realized volatility |
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