Zhuang, Xiaoyang; Wei, Yu; Ma, Feng - In: Physica A: Statistical Mechanics and its Applications 430 (2015) C, pp. 101-113
In this paper, the multifractality and efficiency degrees of ten important Chinese sectoral indices are evaluated using … efficient. We also investigate the cross-correlations between the ten sectoral indices and WTI crude oil price based on … Chinese sectoral stock market by the rolling window approach. The overall empirical findings revealed that all the sectoral …