Multifractal Analysis of Stock Return Series of Jiugui Liquor Co. Ltd

doi:10.3969/j.cnki.jdxb.2015.04.021

Abstract

Abstract: Multifractal detrended fluctuation analysis has been used to research the multifractal characteristics of stock returns of Jiugui Liquor Co. Ltd in Xiangxi Autonomous Prefecture.The evidence shows that the return series are multifractal both for time scales smaller than a week and for time scales larger than a week，it also verifies the fractal market hypothesis about stock.Furthermore，the sources of multi-fractal characteristic are analyzed through shuffling procedure and phase randomization procedure at different scales.For time scales smaller than a week，the main contribution of multifractality is long-range correlations.For time scales larger than a month，both fat-tail distribution and long-range correlations play important roles in the contribution of multifractality.

Key words: stock, return series, multifractal characteristic, time scale

MENG Xun, HUANG Yi, WU Sheng-Hu, XIE Zhi-Hui, SHI Kai. Multifractal Analysis of Stock Return Series of Jiugui Liquor Co. Ltd[J]. journal6, 2015, 36(4): 88-92.

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