Wang, Yudong; Liu, Li; Gu, Rongbao - In: International review of financial analysis 18 (2009) 5, pp. 271-276
We divided the whole series of Shenzhen stock market into two sub-series at the criterion of the date of a reform and their scale behaviors are investigated using multifractal detrended fluctuation analysis (MF-DFA). Employing the method of rolling window, we find that Shenzhen stock market was...