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Upward and Downward Multifractality and Efficiency of Chinese and Hong Kong Stock Markets

Author

Listed:
  • Walid Mensi

    (College of Economics and Political Science, Sultan Qaboos University
    University of Economics Ho Chi Minh City)

  • Xuan Vinh Vo

    (University of Economics Ho Chi Minh City)

  • Sang Hoon Kang

    (Pusan National University)

Abstract

This study examines the upward and downward multifractality, long-memory process, and efficiency of the Shanghai stock exchange composite index of mainland China and the Hang Seng index (HSI) of Hong Kong using the symmetric multifractal detrended fluctuation analysis (MF-DFA), asymmetric MF-DFA (A-MF-DFA), and the Hurst exponent. The results reveal significant differences in upward and downward multifractality, indicating asymmetric multifractality regardless of the frequencies. Moreover, we find evidence of excess asymmetry in multifractality for both markets and for all frequencies, which is more pronounced during downward stock price movements for Hang Seng Index (HSI) markets. The Hong Kong market is less inefficient than Chinese markets. Additionally, Bitcoin (BTC) volumes and BTC trading capitalizations affect the efficiency level across quantiles. Finally, robustness tests confirm our results are robust.

Suggested Citation

  • Walid Mensi & Xuan Vinh Vo & Sang Hoon Kang, 2024. "Upward and Downward Multifractality and Efficiency of Chinese and Hong Kong Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3207-3242, December.
    • Handle: RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-023-10526-9
    DOI: 10.1007/s10614-023-10526-9
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    Keywords

    Asian stock markets; Bitcoin; High frequency; Hurst exponent; A-MF-DFA;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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