Zhuang, Xiaoyang; Wei, Yu; Ma, Feng - In: Physica A: Statistical Mechanics and its Applications 430 (2015) C, pp. 101-113
In this paper, the multifractality and efficiency degrees of ten important Chinese sectoral indices are evaluated using the methods of MF-DFA and generalized Hurst exponents. The study also scrutinizes the dynamics of the efficiency of Chinese sectoral stock market by the rolling window...