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Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm

2012; Elsevier BV; Volume: 392; Issue: 6 Linguagem: Inglês

10.1016/j.physa.2012.11.044

1873-2119

Weijie Zhou, Yaoguo Dang, Rongbao Gu,

Financial Risk and Volatility Modeling

We apply the multifractal detrending moving average (MFDMA) to investigate and compare the efficiency and multifractality of 5-min high-frequency China Securities Index 300 (CSI 300). The results show that the CSI 300 market becomes closer to weak-form efficiency after the introduction of CSI 300 future. We find that the CSI 300 is featured by multifractality and there are less complexity and risk after the CSI 300 index future was introduced. With the shuffling, surrogating and removing extreme values procedures, we unveil that extreme events and fat-distribution are the main origin of multifractality. Besides, we discuss the knotting phenomena in multifractality, and find that the scaling range and the irregular fluctuations for large scales in the Fq(s) vs s plot can cause a knot.