Analysis of efficiency for Shenzhen stock market: Evidence from the source of multifractality
This paper extends the work in Wang, Liu and Gu (2009) [Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis. International Review of Financial Analysis, 18, 271-276] by investigating the dynamics of two main sources of multifractality over time. Using multiscale detrended fluctuation analysis, we find that the medium-term and long-term auto-correlations of Shenzhen stock market became weaker and weaker over time but the degrees of short-term efficiency seemed to do not change. Evidence shows that the degree of the fat-tail distribution of the market returns abruptly decreased after the price-limited reform. After the reform, the degree of fat-tail distribution seemed to run an upward trend but it went down finally. From the contributions of two sources, we conclude that the multifractality generally displayed a downward trend indicating an upward trend of efficiency only in the medium- and long-term which further confirms the results in Wang, Liu and Gu (2009). We find that some abnormal "jumps" in the evolutions of short-term and medium-term correlation behaviors can be related to the abruptly exogenous events. Some problems about efficiency and operations of Shenzhen market are also discussed at last.
Year of publication: |
2010
|
---|---|
Authors: | Liu, Li ; Wang, Yudong ; Wan, Jieqiu |
Published in: |
International Review of Financial Analysis. - Elsevier, ISSN 1057-5219. - Vol. 19.2010, 4, p. 237-241
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Publisher: |
Elsevier |
Keywords: | Multiscale analysis Detrended fluctuation analysis Shenzhen stock market Efficiency |
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