Multifractal Detrended Analysis Method and Its Application in Financial Markets by Guangxi Cao Ling-Yun He & Jie Cao

Author:Guangxi Cao, Ling-Yun He & Jie Cao
Language: eng
Format: epub
Publisher: Springer Singapore, Singapore

0.62608

0.60826

0.69559

0.55987

0.66207

0.59287

0.68085

0.57259

0.50222

0.52590

0.66640

0.55734

−0.05477

0.03567

0.19337

0.03397

−0.00433

0.03553

Note The bold denotes the minimum of scaling exponents H

Table 6.3 also shows that the estimated scaling exponents are larger than for the SSCI-RMB/EU, SSCI-RMB/GBP, SSCI-RMB/JPY, and SSCI-RMB/SP500 pair-wise. This finding indicates that the cross-correlations between the Chinese stock market and the RMB/EU, RMB/GBP, RMB/JPY exchange markets (rept. the US stock market) present stronger persistence when the exchange markets (resp. the US stock market) are going up than when going down. On the contrary, the estimated scaling exponents are smaller than for the SSCI-RMB/US and SSCI-RMB/HK pairs. These observations imply the cross-correlations between the Chinese stock market and the RMB/US and RMB/HK exchange markets present stronger persistence when the exchange market is falling than when it is rising.

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