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The institutional characteristics of multifractal spectrum of China’s stock market

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  • Li, Yong
  • Vilela, André L.M.
  • Stanley, H. Eugene

Abstract

This paper investigates the fractal structure of China’s stock market by calculating the multifractal singularity spectrum and comparing the scaling behavior of the bubble phase of eight abnormal volatilities with that of normal fluctuation on the timeline. We find robust evidence that the Shanghai Stock Exchange Composite Index has multifractal features in the bubble and normal fluctuation periods, where the higher multifractality is associated with a bubble and more unstable market. The short-sighted administrative policies cause over-supply of intervention, which enhances the multifractality and increases the instability of the stock market. The multifractal parameter set (α0,Δα,−B) might be used as a quantifier to characterize the status of the stock market. A policy aimed to improve the stability of the stock market should be devoted to optimizing the parameter set.

Suggested Citation

  • Li, Yong & Vilela, André L.M. & Stanley, H. Eugene, 2020. "The institutional characteristics of multifractal spectrum of China’s stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
    • Handle: RePEc:eee:phsmap:v:550:y:2020:i:c:s0378437119322794
    DOI: 10.1016/j.physa.2019.124129
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    References listed on IDEAS

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    Cited by:

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    2. Wang, Yi & Sun, Qi & Zhang, Zilu & Chen, Liqing, 2022. "A risk measure of the stock market that is based on multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).

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