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      Asymmetric Fractal Characteristics and Market Efficiency Analysis of Style Stock Indices

      , , , ,
      Entropy
      MDPI AG

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          Abstract

          As a typical complex system, the stock market has attracted the attention of scholars and investors to comprehensively understand its fractal characteristics and analyze its market efficiency. Firstly, this paper proposes an asymmetric, detrended fluctuation analysis based on overlapping sliding windows (OSW-A-MFDFA). It reduces the generation of fluctuation errors, and the calculation results are more robust and reliable. The advantage of the OSW-A-MFDFA is that it not only can reveal the multifractal characteristics of time series clearly, but also can further accurately analyze the asymmetry of fractal characteristics under different trends. Secondly, this paper focuses on the variation in the width difference and height difference of the multifractal spectrum under different trends. Finally, based on multifractality, this paper proposes a comprehensive indicator MED that can be used to measure market efficiency, which is characterized by traversing all fluctuation orders. The application revealed many interesting findings in style stock indices. Style stock indices have asymmetric multifractal characteristics, and there are significant differences in the fractal spectrum of different style assets. Moreover, the market efficiency of style stock indices is time-varying, which can be reasonably explained from the perspective of the adaptive market hypothesis.

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          Most cited references57

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            Multifractal detrended fluctuation analysis of nonstationary time series

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              Long-Term Memory in Stock Market Prices

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                Author and article information

                Contributors
                Journal
                ENTRFG
                Entropy
                Entropy
                MDPI AG
                1099-4300
                July 2022
                July 13 2022
                : 24
                : 7
                : 969
                Article
                10.3390/e24070969
                c3453c25-10a8-44ce-8633-6fccffa420f0
                © 2022

                https://creativecommons.org/licenses/by/4.0/

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