The multifractal structure analysis in China stock market

The chief aim of the present work is to investigate the features of multifractal structure of stock price index. It applies the multifractal detrended fluctuation analysis (MF-DFA) model to analyze the returns of both ShangHai synthesis stock price index (SHSSPI) and ShengZhen composite stock price index (SZCSPI). By calculating the generalized Hurst exponent h(q) and its function τ(q), the result shows that correlation of the generalized Hurst exponent h(q) and nonlinear behaviour of function τ(q) of SZCSPI are both more obvious than that of SHSSPI. From those experiments one can conclude that both SHSSPI and SZCSPI have multifractal characteristics. And the multifractal characteristics of SZCSPI are more obviously than that of SHSSPI.