Investigating Market Efficiency and Investor Behavior on Internet Money Fund Platforms via Asymmetric Multifractal Methods

This paper investigates two major internet money fund trading platforms in China — Y platform and L platform — using asymmetric multifractal analysis to systematically examine the market efficiency of their money funds and the relationship with customer flows. This study finds that investors on the Y platform exhibit high emotional volatility and speculative behavior, causing excessive market expansion during upswings and panic selling during downturns, which amplifies market volatility and inefficiency. In contrast, investors on the L platform are more rational and cautious, tending to adopt counter-cyclical strategies during periods of high volatility, which helps mitigate market fluctuations and contributes to relative market stability. Both platforms show significant multifractal characteristics, indicating high market nonlinearity and complexity, which traditional mean-variance analysis struggles to capture adequately. The research also reveals a notable power-law correlation and nonlinear cross-time-scale relationship between customer flows and fund returns, highlighting the profound impact of investor behavior on internet money fund yields. In summary, this paper emphasizes the presence of market inefficiencies in internet money funds, recommends the adoption of dynamic, multi-scale risk management strategies and calls for further in-depth research into platform network externalities and investor behavior mechanisms to enhance market understanding and risk control.