|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|100822||2018||16 صفحه PDF||سفارش دهید||4125 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Physica A: Statistical Mechanics and its Applications, Volume 490, 15 January 2018, Pages 497-503
CSI 800 index consists of CSI 500 index and CSI 300 index, aiming to reflect the performance of stocks with large, mid and small size of China A share market. In this paper we analyze the multifractal structure of Chinese stock market in the CSI 800 index based on the multifractal detrended fluctuation analysis (MF-DFA) method. We find that the fluctuation of the closing logarithmic returns have multifractal properties, the shape and width of multifractal spectrum are depended on the weighing order q. More interestingly, we observe a bigger market crash in JuneâAugust 2015 than the one in 2008 based on the local Hurst exponents. The result provides important information for further study on dynamic mechanism of return fluctuation and whether it would trigger a new financial crisis.