基于小波领袖多重分形分析法的股市有效性及风险检测

Abstract

Abstract: Most research about efficiency measurement and risk detection in stock markets are based on the Efficient Market Hypothesis (EMH). From the Fractal Market Hypothesis (FMH), wavelet leaders (WL) multifractal analysis is firstly employed to measure the market efficiency by describing the multifractal properties of market fluctuations. And then a new method is put forward to detect and measure the financial crisis by the fractal dimension (D(h_min)) and singularity (h_min) evolutions of the largest fluctuations in the stock markets. The empirical results show that the efficiencies of China, United States and Japan stock markets differ from each other apparently during the different periods. The efficiency of China stock market has been improved gradually, while the efficiencies of United States and Japan stock markets are more related to the financial crisis. Through the analysis, the method is found to have the power not only on correctly locating the time point of financial crisis, but also measuring the financial crisis precisely by the evolution of the multifractal parameters. Empirical results can provide some revelation about how to improve the stock market efficiency and the financial risk management ability for the investors of different investment horizons.

Key words: wavelet leaders, multifractal, efficiency, detection, financial crisis

CLC Number:

F830.9

ZHANG Lin, LI Rong-jun, LIU Xiao-long. The Efficiency and Risk Detection of Stock Markets Based on Wavelet Leaders (WL)Multifractal Analysis[J]. Chinese Journal of Management Science, 2014, 22(6): 17-26.

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The Efficiency and Risk Detection of Stock Markets Based on Wavelet Leaders (WL)Multifractal Analysis

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