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Multiscale Multifractal Detrended Fluctuation Analysis and Trend Identification of Liquidity in the China's Stock Markets

Author

Listed:
  • Ruzhen Yan

    (Chengdu University of Technology)

  • Ding Yue

    (Chengdu University of Technology)

  • Xu Wu

    (Chengdu University of Technology)

  • Wei Gao

    (Sichuan Agricultural University)

Abstract

This paper concerns an investigation on the multifractal features of liquidity in China's stock markets based on multifractal detrended fluctuation analysis, and an analysis on multifractal features of market liquidity and fractal degree by determining the generalized Hurst exponent. Also involved in this paper are the identification of the trended fluctuations by tendency entropy dimension and a study on the validity of the correct rate of identification by stochastic correct rate. The results show that the multifractal features of liquidity are obvious in China's stock markets and that the multifractal liquidity degree of the large-cap stock is lower than those of the medium and small-cap stocks. The trend entropy dimension can be used to identify the trend of liquidity effectively, serving as an effective method to identify the fluctuation trend of fractal market.

Suggested Citation

  • Ruzhen Yan & Ding Yue & Xu Wu & Wei Gao, 2023. "Multiscale Multifractal Detrended Fluctuation Analysis and Trend Identification of Liquidity in the China's Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 487-511, February.
    • Handle: RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10215-5
    DOI: 10.1007/s10614-021-10215-5
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    More about this item

    Keywords

    Liquidity; Multifractal detrended fluctuation analysis; Tendency entropy dimension; China's stock markets;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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