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

Physica A: Statistical Mechanics and its Applications

Volumn 392, Issue 2, 2013, Pages 361-370

  Gu, Rongbao ^a   Shao, Yanmin ^b   Wang, Qingnan ^a  

^a NANJING UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^b INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

Author keywords

DCCA cross correlation coefficient; Efficiency index; Multifractality degree; Stock market

Indexed keywords

EFFICIENCY; FINANCIAL MARKETS;

DCCA CROSS-CORRELATION COEFFICIENTS; EFFICIENCY INDEX; MARKET EFFICIENCY; MULTIFRACTALITY; MULTIFRACTALITY DEGREES; ROLLING WINDOW; SHANGHAI STOCK MARKET; SHORT TERM;

COMMERCE;

EID: 84867874913     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2012.09.008     Document Type: Article

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