Efficiency and Multifractality Analysis of the Chinese Stock Market: Evidence from Stock Indices before and after the 2015 Stock Market Crash

Efficiency and Multifractality Analysis of the Chinese Stock Market: Evidence from Stock Indices before and after the 2015 Stock Market Crash

This paper examines the daily return series of four main indices, including Shanghai Stock Exchange Composite Index (SSE), Shenzhen Stock Exchange Component Index (SZSE), Shanghai Shenzhen 300 Index (SHSE-SZSE300), and CSI Smallcap 500 index (CSI500) in Chinese stock market from 2000 to 2018 by mult...

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Bibliographic Details
Main Authors: Chenyu Han, Yiming Wang, Yingying Xu
Format: Article
Language:English
Published: MDPI AG 2019-03-01
Series:Sustainability
Subjects:
multifractality analysis
MF-DFA
market efficiency
stock market crash
Online Access:https://www.mdpi.com/2071-1050/11/6/1699

Internet

https://www.mdpi.com/2071-1050/11/6/1699

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