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Asymmetric multifractal features of the price–volume correlation in China’s gold futures market based on MF-ADCCA

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  • Guo, Yaoqi
  • Yu, Zhuling
  • Yu, Chenxi
  • Cheng, Hui
  • Chen, Weixun
  • Zhang, Hongwei

Abstract

In recent years, fractal theory has become a recognized research direction for explaining various complex phenomena that are difficult to constrain in the conventional efficient market hypothesis for financial markets. Moreover, because the gold futures prices are crucial to the futures market, research on the relationship between quantity and price is important for understanding market fluctuations. Therefore, this paper conducts an empirical analysis of the multifractal features and asymmetry in the price–volume correlation of China’s gold futures market based on the multifractal asymmetric detrended cross-correlation analysis method11Multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA) method. . Results show that the cross-correlation between market price and volume is asymmetric and multifractal and that multifractal features are stronger when the price increases compared with when it declines. Moreover, the multifractal features vary over time. These findings indicate that the risk of China’s gold futures market will change with the price trend over time.

Suggested Citation

  • Guo, Yaoqi & Yu, Zhuling & Yu, Chenxi & Cheng, Hui & Chen, Weixun & Zhang, Hongwei, 2021. "Asymmetric multifractal features of the price–volume correlation in China’s gold futures market based on MF-ADCCA," Research in International Business and Finance, Elsevier, vol. 58(C).
    • Handle: RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921001161
    DOI: 10.1016/j.ribaf.2021.101495
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    2. Cao, Guangxi & Ling, Meijun, 2022. "Asymmetry and conduction direction of the interdependent structure between cryptocurrency and US dollar, renminbi, and gold markets," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).

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