Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis

descriptionPublicationkeyboard_double_arrow_right Article 01 Jun 2016 English Publisher:Elsevier BVJournal:Physica A: Statistical Mechanics and its Applications, volume 451, pages 357-365 (issn: 0378-4371,

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Authors: Liansheng Yang; Yingming Zhu; Yudong Wang;

doi: 10.1016/j.physa.2016.01.100

Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis

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Abstract

Abstract In this paper, we investigate the impacts of oil price changes on energy stocks in Chinese stock market from the multifractal perspective. The well-known multifractal detrended fluctuation analysis (MF-DFA) is applied to detect the multifractality. We find that both returns and volatilities of energy industry index display apparent multifractal behavior. Oil market activity is an important source of multifractality in energy stocks index in addition to long-range correlations and fat-tail distributions.

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Nanjing University of Science and Technology
China (People's Republic of)

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