Cross-correlations between Chinese A-share and B-share markets

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 23, 2010, Pages 5468-5478

  Wang, Yudong ^a   Wei, Yu ^b   Wu, Chongfeng ^a  

^a Shanghai Jiao Tong University   (China)

^b SOUTHWEST JIAOTONG UNIVERSITY   (China)

Author keywords

Chinese stock markets; Cross correlations; Detrended cross correlation analysis; Rolling windows

Indexed keywords

CORRELATION METHODS; FRACTALS;

CHINESE STOCK MARKET; CROSS CORRELATIONS; DETRENDED CROSS-CORRELATION ANALYSIS; MARKET EFFICIENCY; MULTI FRACTALS; ROLLING WINDOW; SHARE MARKET; SMALL FLUCTUATION;

COMMERCE;

EID: 77957750001     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.08.029     Document Type: Article

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