Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 392, Issue 4, Pages 797-807Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2012.10.042
Keywords
Asymmetric; Multifractal; MF-DFA; Stock market
Categories
Funding
- National Natural Science Foundation of China [70901044, 71073100]
- Program for New Century Excellent Talents in University [NCET-07-0533]
- Science Foundation of Postdoctors in China [20100480577]
- PAPD
- Foundation of Qinglan Engineering Foundation of Jiangsu Provincial Department of Education
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We utilized asymmetric multifractal detrended fluctuation analysis in this study to examine the asymmetric multifractal scaling behavior of Chinese stock markets with uptrends or downtrends. Results show that the multifractality degree of Chinese stock markets with uptrends is stronger than that of Chinese stock markets with downtrends. Correlation asymmetries are more evident in large fluctuations than in small fluctuations. By discussing the source of asymmetric multifractality, we find that multifractality is related to long-range correlations when the market is going up, whereas it is related to fat-tailed distribution when the market is going down. The main source of asymmetric scaling behavior in the Shanghai stock market are long-range correlations, whereas that in the Shenzhen stock market is fat-tailed distribution. An analysis of the time-varying feature of scaling asymmetries shows that the evolution trends of these scaling asymmetries are similar in the two Chinese stock markets. Major financial and economical events may enhance scaling asymmetries. (C) 2012 Elsevier B.V. All rights reserved.
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