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International investors and the multifractality property: Evidence from accessible and inaccessible market

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  • Li, Songsong
  • Xu, Nan
  • Hui, Xiaofeng

Abstract

This study provides the evidence that the transactions of international investors in the stock market exacerbate the degree of market multifractality. We analyze shares cross-listed in an accessible market (H-shares in Hong Kong) and an inaccessible market (A-shares in mainland China) by applying the method of multifractal detrended fluctuation analysis (MF-DFA) from 01 January 2010 to 31 December 2019. The results based on MF-DFA confirm that the degree of multifractality in the accessible market is much stronger than the inaccessible market and intensifies with the increasing openness of the stock market. We find that the participations of international investors enhance the strength of multifractality by affecting both the long-range correlations and the fat tail distribution of the return series. Besides, the results also verify the impact of the stock market crash on multifractal strength.

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  • Li, Songsong & Xu, Nan & Hui, Xiaofeng, 2020. "International investors and the multifractality property: Evidence from accessible and inaccessible market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
    • Handle: RePEc:eee:phsmap:v:559:y:2020:i:c:s0378437120305367
    DOI: 10.1016/j.physa.2020.125029
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