Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/242514
Authors: 
Lu, Xinsheng
Tian, Jie
Zhou, Ying
Li, Zhihui
Year of Publication: 
2012
Series/Report no.: 
Economics Working Paper Series No. 2012/08
Abstract: 
Based on the multifractal detrended fluctuation analysis (MF-DFA) and multifractal spectrum analysis, this paper empirically studies the multifractal properties of the Chinese stock index futures market. Using a total of 2,942 ten-minute closing prices, we find that the Chinese stock index futures returns exhibit long-range correlations and multifractality, making the single-scale index insufficient to describe the futures price fluctuations. Further, by comparing the original time series with the transformed time series through shuffling procedure and phase randomization procedure, we show that there exists two different sources of the multifractality for the Chinese stock index futures market. Our results suggest that the multifractality is mainly due to long-range correlations, although the fat-tailed probability distributions also contribute to such multifractal behavior.
Subjects: 
Multifractality
Stock index futures
MF-DFA
Generalized Hurst exponent
Document Type: 
Working Paper

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