Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis

被引：36
作者：
Yang, Liansheng [1 ]
Zhu, Yingming [1 ]
Wang, Yudong [1 ]
机构：
[1] Nanjing Univ Sci & Technol, Sch Econ & Management, 200 Xiaolinwei St, Nanjing 210094, Jiangsu, Peoples R China
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2016年 / 451卷
关键词：
Chinese stock market; Energy stocks; Multifractal detrended fluctuation analysis; Crude oil market; Multifractality; CROSS-CORRELATION ANALYSIS; NONSTATIONARY TIME-SERIES; INTERMEDIATE CRUDE-OIL; LONG-RANGE DEPENDENCE; MARKETS; VOLATILITY; BEHAVIOR; RETURNS; US;
D O I：
10.1016/j.physa.2016.01.100
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
In this paper, we investigate the impacts of oil price changes on energy stocks in Chinese stock market from the multifractal perspective. The well-known multifractal detrended fluctuation analysis (MF-DFA) is applied to detect the multifractality. We find that both returns and volatilities of energy industry index display apparent multifractal behavior. Oil market activity is an important source of multifractality in energy stocks index in addition to long-range correlations and fat-tail distributions. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：357 / 365
页数：9
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