| Empirical Study on the Multifractal Phenomenon of Chinese Stock Market |
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| 作者姓名： | 魏宇 黄登仕 |
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| 作者单位： | School of Economics and Management，Southwest Jiaotong University，School of Economics and Management，Southwest Jiaotong University Chengdu 610031，China，Chengdu 610031，China |
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| 摘 要： |
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| 关 键 词： | 中国 股票市场 金融业 风险管理 股票价格 多分形现象 |
Empirical Study on the Multifractal Phenomenon of Chinese Stock Market |
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| Wei Yu,Huang Dengshi.Empirical Study on the Multifractal Phenomenon of Chinese Stock Market[J].Journal of Southwest Jiaotong University,2003,11(1):85-90. |
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| Authors: | Wei Yu Huang Dengshi |
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| Abstract: | Many recent researches with empirical data have demonstrated that financial data have multifractal properties. To study the properties of Chinese stock market, the Shanghai Stock Exchange Composite Index (SSECI) from January 1999 to July 2001 (a quotation taken every 5 min) is analyzed using multifractal theories, and it is found that the return volatility correlations are of power laws with a non unique scaling exponent. It is verified that Chinese stock market is quite similar to foreign financial markets in terms of multifractal properties. |
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| Keywords: | multifractal price volatility risk management |
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