【摘要】 应用MF-X-DFA方法对上证综合指数(SSCI)和香港恒生指数(HSI)的收益率进行多重分形分析,结果表明上证综合指数和香港恒生指数均具有多重分形特征,两市场之间存在交叉相关性.当证券市场出现较大波动时,两个证券市场之间的交叉相关性要大于其自相关性.更多还原

【Abstract】 This paper researches multifractality of Shanghai stock composite index returns and HongKong hang seng index returns by use of MF-X-DFA.The results show both Shanghai stock composite index returns and HongKong hang seng index returns have multifractality,present cross-correlation.When the securities markets arise comparatively large fluctuations,the cross-correlation between the two securities markets are stronger than the individual market’s auto correlations.更多还原