Coupling detrended fluctuation analysis of Asian stock markets

被引:17
作者
Wang, Qizhen [1 ]
Zhu, Yingming [1 ]
Yang, Liansheng [1 ]
Mul, Remco A. H. [1 ]
机构
[1] Nanjing Univ Sci & Technol, Sch Econ & Management, 200 Xiaolinwei St, Nanjing 210094, Jiangsu, Peoples R China
关键词
CDFA; Asian stock market; Vector autoregression analysis; Stock indices; CROSS-CORRELATION ANALYSIS; CRUDE-OIL MARKET; MULTIFRACTAL PROPERTIES; VOLUME CHANGE; BEHAVIOR; INDEX; VOLATILITY;
D O I
10.1016/j.physa.2016.12.076
中图分类号
O4 [物理学];
学科分类号
0702 ;
摘要
This paper uses the coupling detrended fluctuation analysis (CDFA) method to investigate the multifractal characteristics of four Asian stock markets using three stock indices: stock price returns, trading volumes and the composite index. The results show that coupled correlations exist among the four stock markets and the coupled correlations have multifractal characteristics. We then use the chi square (chi(2)) test to identify the sources of multifractality. For the different stock indices, the contributions of a single series to multifractality are different. In other words, the contributions of each country to coupled correlations are different. The comparative analysis shows that the research on the combine effect of stock price returns and trading volumes may be more comprehensive than on an individual index. By comparing the strength of multifractality for original data with the residual errors of the vector autoregression (VAR) model, we find that the VAR model could not be used to describe the dynamics of the coupled correlations among four financial time series. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码:337 / 350
页数:14
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