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Multiscale Multifractal Detrended Fluctuation Analysis and Trend Identification of Liquidity in the China's Stock Markets

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Abstract

This paper concerns an investigation on the multifractal features of liquidity in China's stock markets based on multifractal detrended fluctuation analysis, and an analysis on multifractal features of market liquidity and fractal degree by determining the generalized Hurst exponent. Also involved in this paper are the identification of the trended fluctuations by tendency entropy dimension and a study on the validity of the correct rate of identification by stochastic correct rate. The results show that the multifractal features of liquidity are obvious in China's stock markets and that the multifractal liquidity degree of the large-cap stock is lower than those of the medium and small-cap stocks. The trend entropy dimension can be used to identify the trend of liquidity effectively, serving as an effective method to identify the fluctuation trend of fractal market.

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Acknowledgements

The authors would like to acknowledge financial support by the National Natural Science Foundation of China (Grant Nos. 71501018, 71903017).

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Authors and Affiliations

  1. School of Business, Chengdu University of Technology, Chengdu, 610059, China

    Ruzhen Yan, Ding Yue & Xu Wu

  2. School of Business, Sichuan Agricultural University, Chengdu, 611830, China

    Wei Gao

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  1. Ruzhen Yan
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  2. Ding Yue
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  3. Xu Wu
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  4. Wei Gao
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Correspondence to Xu Wu.

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Yan, R., Yue, D., Wu, X. et al. Multiscale Multifractal Detrended Fluctuation Analysis and Trend Identification of Liquidity in the China's Stock Markets. Comput Econ 61, 487–511 (2023). https://doi.org/10.1007/s10614-021-10215-5

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