We investigate the relationships between Shanghai and Shenzhen stock market, and reveal the evidence of cross-correlations between the two stock markets. Our main findings show that Shanghai and Shenzhen stock market are cointegrated, and also present the evidence of strong error-correction...

By applying the rolling window method, we investigate the efficiency of the Shanghai stock market through the dynamic changes of local Hurst exponents based on multifractal detrended fluctuation analysis. We decompose the realized volatility into continuous sample paths and jump components and...