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Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis

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...

Persistent link: https://www.econbiz.de/10003936608

Can the introduction of stock index futures stabilize the volatility of the stock market? : evidence from the Chinese stock market

Liu, Shengnan; Yang, Linshan; Gu, Rongbao - In: International review of economics & finance : IREF 85 (2023), pp. 44-58

Persistent link: https://www.econbiz.de/10014424017

Oil price shocks and stock market activities : evidence from oil-importing and oil-exporting countries

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: Journal of comparative economics : the journal of the … 41 (2013) 4, pp. 1220-1239

Persistent link: https://www.econbiz.de/10010227914

Analysis of efficiency for Shenzhen stock market : evidence from the source of multifractality

Liu, Li; Wang, Yudong; Wan, Jieqiu - In: International review of financial analysis 19 (2010) 4, pp. 237-241

Persistent link: https://www.econbiz.de/10009272670

Realized skewness and the short-term predictability for aggregate stock market volatility

Zhang, Zhikai; He, Mengxi; Zhang, Yaojie; Wang, Yudong - In: Economic modelling 103 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013163911

Forecasting realized volatility of Chinese stock market : a simple but efficient truncated approach

Wen, Danyan; He, Mengxi; Zhang, Yaojie; Wang, Yudong - In: Journal of forecasting 41 (2022) 2, pp. 230-251

Persistent link: https://www.econbiz.de/10012817722

The relationships between petroleum and stock returns : an asymmetric dynamic equi-correlation approach

Pan, Zhiyuan; Wang, Yudong; Liu, Li - In: Energy economics 56 (2016), pp. 453-463

Persistent link: https://www.econbiz.de/10011664485

Oil volatility risk and stock market volatility predictability : evidence from G7 countries

Feng, Jiabao; Wang, Yudong; Yin, Libo - In: Energy economics 68 (2017), pp. 240-254

Persistent link: https://www.econbiz.de/10011905699

Volatility spillovers between crude oil and Chinese sectoral equity markets : evidence from a frequency dynamics perspective

Wang, Xunxiao; Wang, Yudong - In: Energy economics 80 (2019), pp. 995-1009

Persistent link: https://www.econbiz.de/10012173766

Forecasting stock market realized volatility : the role of global terrorist attacks

Wen, Danyan; He, Mengxi; Wang, Yudong; Zhang, Yaojie - In: Applied economics 55 (2023) 22, pp. 2551-2566

Persistent link: https://www.econbiz.de/10014295065