Notice of RetractionMultifractal analysis of China´s A-share market reforms based on MF-DFA

Notice of Retraction

After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.

We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.

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Based on the Multifractal Detrended Fluctuation Analysis(MF-DFA), this paper investigates the multifractal properties of China´s A-share market using the empirical analysis of two indexes (Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index) and three stages (Prior to the Price Limitation Strategy, Prior to the Stock-Liquidity Reform and after the Price Limitation Strategy, and post the Stock-Liquidity Reform). The results show that both Shanghai Stock Exchange Composite Index returns and Shenzhen Stock Exchange Component Index returns present long-range correlation and multifractality. Comparing with the results obtained from three periods we conclude that, Shanghai stock market possessed higher multifractality degree and was more influenced by the Price Limitation Strategy and Stock-Liquidity Reform. Through studying the change of generalized Hurst exponent, we also verified that the Price Limitation Strategy and Stock-Liquidity Reform both improve the market efficiency; the former reduces market risk, but the latter increases market risk in a short period of time. The reasons of such multifractal properties in the China´s A-share market is most likely due to systematical market imperfections formed in the last few decades and the time-lag of the Liquidity Reform.