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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