دانلود مقاله ISI انگلیسی شماره 17741
ترجمه فارسی عنوان مقاله

تجزیه و تحلیل چند فراکتال detrended بررسی این ارتباط بین بازار سهام چین و اطراف آن بازار سهام

عنوان انگلیسی
Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
17741 2013 12 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Physica A: Statistical Mechanics and its Applications, Volume 392, Issue 7, 1 April 2013, Pages 1659–1670

ترجمه کلمات کلیدی
بازارهای سهام - چند فراکتال - تجزیه و تحلیل همبستگی متقابل - صلیب همبستگی -
کلمات کلیدی انگلیسی
Stock markets,Multifractal detrended ,cross-correlation analysis,Cross-correlations,
پیش نمایش مقاله
پیش نمایش مقاله  تجزیه و تحلیل چند فراکتال detrended بررسی این ارتباط بین بازار سهام چین و اطراف آن بازار سهام

In this paper, we investigate the cross-correlations between the stock market in China and markets in Japan, South Korea and Hong Kong. We use not only the qualitative analysis of the cross-correlation test, but also the quantitative analysis of the MF-X-DFA. Our findings confirm the existence of cross-correlations between the stock market in China and markets in Japan, South Korea and Hong Kong, which have strongly multifractal features. We find that the cross-correlations display the characteristic of multifractality in the short term. Moreover, the cross-correlations of small fluctuations are persistent and those of large fluctuations are anti-persistent in the short term, while the cross-correlations of all kinds of fluctuations are persistent in the long term. Furthermore, based on the multifractal spectrum, we also find that the multifractality of cross-correlation between stock markets in China and Japan are stronger than those between China and South Korea, as well as between China and Hong Kong.