Cross-correlation and multifractality analysis of the Chinese and American stock markets based on the MF-DCCA model
The paper shows that (1) CSI 300 and S&P 500 have multifractal features, with different long-term memory, complexity and irregularity at different scales; (2) The markets are fractal movements influenced by investors' irrationality and expectations, not efficient markets; (3) Long-term memory and nonlinear effects cause the multifractal features. The paper offers a new perspective and method for the market investors and regulators.
Authors
- Yijun Chen (ORCID: https://orcid.org/0000-0002-4920-152X)
- Zi-miao Xie
- Jun-hao Zhang
- Lei Lu
Institutions
- Macau University of Science and Technology (MO)
- Guizhou University of Finance and Economics (CN)
- Peking University (CN)
- Sanda University (CN)
- City University of Macau (MO)
Publication Details
- Journal
- Heliyon
- Published
- 2024-08-23
- DOI
- https://doi.org/10.1016/j.heliyon.2024.e36537
- Citations
- 7
- Primary Topic
- Complex Systems and Time Series Analysis
- Type
- article
- Field-Weighted Citation Impact
- 7.90
Funders
- Department of Education of Guizhou Province