文献类型：期刊文献

英文题名：Multifractal characteristics and return predictability in the Chinese stock markets

作者：Fu, Xin-Lan[1]; Gao, Xing-Lu[1]; Shan, Zheng[1]; Jiang, Zhi-Qiang[1]; Zhou, Wei-Xing[1,2]

机构：[1] Department of Finance, School of Business, East China University of Science and Technology, 130 Meilong Road, P.O. Box 114, Shanghai, 200237, China; [2] Department of Mathematics, School of Science, East China University of Science and Technology, Shanghai, 200237, China

年份：2018

外文期刊名：arXiv

收录：EI(收录号：20200425952)

语种：英文

外文关键词：Acoustooptical devices - Commerce - Financial markets

摘要：By adopting Multifractal detrended fluctuation (MF-DFA) analysis methods, the multifractal nature is revealed in the high-frequency data of two typical indexes, the Shanghai Stock Exchange Composite 180 Index (SH180) and the Shenzhen Stock Exchange Composite Index (SZCI). The characteristics of the corresponding multifractal spectra are defined as a measurement of market volatility. It is found that there is a statistically significant relationship between the stock index returns and the spectral characteristics, which can be applied to forecast the future market return. The in-sample and out-of-sample tests on the return predictability of multifractal characteristics indicate the spectral width Δα is a significant and positive excess return predictor. Our results shed new lights on the application of multifractal nature in asset pricing. Copyright ? 2018, The Authors. All rights reserved.