• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Physica, A. Statistical mechanics and its applications >Is the efficiency of stock market correlated with multifractality? An evidence from the Shanghai stock market
【24h】

Is the efficiency of stock market correlated with multifractality? An evidence from the Shanghai stock market

机译：股市效率是否与多重分形相关？上海股市的证据

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

In this paper, we propose an efficiency index and multifractality degree for financial markets, and investigate the dynamics of the relationship between the two indices for the Shanghai stock market employing the technique of rolling window. By using the DCCA cross-correlation coefficient, we find that, for the Shanghai stock market, the increase in the degree of market multifractality can lead to a lower degree of market efficiency before the equity division reforms, whereas it can result in a lower degree of market efficiency in the short-term and a higher degree of market efficiency in the long-term after the equity division reforms. This finding reflects the process of development of the Shanghai stock market and also provides strong evidence which supports Liu's argument that the increase in the degree of market complexity can improve the market efficiency Liu (2009) [1].
机译：本文提出了金融市场的效率指数和多重分形度，并运用滚动窗口技术研究了上海股市两个指数之间的关系。通过使用DCCA互相关系数，我们发现，对于上海股票市场，市场多元化程度的提高可以导致股权分置改革之前的市场效率降低，而其程度却可以降低。股权分置改革后短期内市场效率的提高和长期内市场效率的提高。这一发现不仅反映了上海股票市场的发展过程，而且也提供了有力的证据，支持了刘的论点，即市场复杂程度的提高可以提高市场效率（Liu，2009）[1]。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号