Empirical Study on the Multifractal Phenomenon of Chinese Stock Market

作     者：魏宇 黄登仕 Wei Yu Huang Dengshi (School of Economics and Management, Southwest Jiaotong University, Chengdu 610031, China)

作者机构：School of Economics and Management Southwest Jiaotong University 

出 版 物：《Journal of Southwest Jiaotong University(English Edition)》 (西南交通大学学报（英文版）)

年 卷 期：2003年第11卷第1期

页      面：85-90页

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 

基　　金：SupportedbytheNationalNaturalScienceFoundationofChina (No .70 1 71 0 5 4 ) 

主　　题：multifractal price volatility risk management 

摘      要：Many recent researches with empirical data have demonstrated that financial data have multifractal properties. To study the properties of Chinese stock market, the Shanghai Stock Exchange Composite Index (SSECI) from January 1999 to July 2001 (a quotation taken every 5 min) is analyzed using multifractal theories, and it is found that the return volatility correlations are of power laws with a non unique scaling exponent. It is verified that Chinese stock market is quite similar to foreign financial markets in terms of multifractal properties.