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A Study on Differences between Large-cap-stock and Small-cap-stock Based on Multifractal Theory |
WANG Dong-Hua, SUO Yuan-Yuan, LI Xin-Ran |
1.East China University of Science and Technology, Shanghai, China;
2.Shanghai University of Finance and Economics, Shanghai, China |
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Abstract In this paper, we study the overall statistical properties and multifractal characteristics of CSI 100 index and SCI 500 index which represent largecapstock and small-cap-stock respectively using statistical methods and multifractal detrending fluctuation analysis (MFDFA) based on the 1 minute high frequency data from January 15, 2007 to April 18, 2008. A new market risk measure based on two main parameters of multifractal spectrum is constructed to compare the volatility and risk of SCI 100 index with SCI 500 index. The results show that the distribution of the two indexes have peak fattail as a whole, exponential form in the center and powerlaw tails, however, SCI 500 index poses fatter tail, stronger multifractal, and the new risk measure(MFV) implies SCI 500 has more risk, which makes up the inadequacies of traditional risk measures in the complex nonlinear financial system.
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Received: 20 May 2012
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