Exploring the Asymmetric Multifractal Characteristics of Price–Volume Cross-Correlation in the Chinese Rebar Futures Market Based on MF-ADCCA

Wang, Jian; Jiang, Wenjing; Yan, Yan; Shao, Wei; Wu, Xinpei; Hua, Zhongyu

doi:10.1142/s0219477523500293

Cited by 3 publications

(2 citation statements)

References 51 publications

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“…The econophysics literature has investigated multifractal cross-correlations in various financial markets. Examples of these research areas include the stock market [30,31], crude oil [32,33], cryptocurrencies [34][35][36], energy market [37,38], bond market [39], precious metals [40], and green bonds [41].…”

Section: Introductionmentioning

confidence: 99%

“…Furthermore, Yang et al [39] provided additional evidence of the multifractality of financial markets by studying the treasury bond market in China. On the commodity market side, Wang et al [40] demonstrated multifractality in the Chinese Rebar market using asymmetric MFDCCA, revealing complex structures. Fernandes et al [41] used MFDCCA to examine multifractal cross-correlations between green bonds and sector equity/bond indices in the U.S.…”

Section: Introductionmentioning

confidence: 99%

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Multifractal Detrended Cross-Correlations between Green Bonds and Commodity Markets: An Exploration of the Complex Connections between Green Finance and Commodities from the Econophysics Perspective

Acikgoz,

Gokten,

Soylu

2024

Fractal Fract

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Green bonds represent a compelling financial innovation that presents a financial perspective solution to address climate change and promote sustainable development. On the other hand, the recent process of financialisation of commodities disrupts the dynamics of the commodity market, increasing its correlation with financial markets and raising the risks associated with commodities. In this context, understanding the dynamics of the interconnectivity between green bonds and commodity markets is crucial for risk management and portfolio diversification. This study aims to reveal the multifractal cross-correlations between green bonds and commodities by employing methods from statistical physics. We apply multifractal detrended cross-correlation analysis (MFDCCA) to both return and volatility series, demonstrating that green bonds and commodities exhibit multifractal characteristics. The analysis reveals long-range power-law cross-correlations between these two markets. Specifically, volatility cross-correlations persist across various fluctuations, while return series display persistence in small fluctuations and antipersistence in large fluctuations. These findings carry significant practical implications for hedging and risk diversification purposes.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Multifractal Detrended Cross-Correlations between Green Bonds and Commodity Markets: An Exploration of the Complex Connections between Green Finance and Commodities from the Econophysics Perspective

Acikgoz,

Gokten,

Soylu

2024

Fractal Fract

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An Econophysics Perspective on Green Bonds and Stock Market Nexus: Can Green Finance be an Investment Option for Emerging Stock Markets?

Acikgoz

2024

Fluct. Noise Lett.

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Green bonds are one of the most fascinating financial innovations that offer a solution to climate change and sustainable development from the financial point of view. In this study, we employ methods from statistical physics to examine the multifractal features of cross-correlations between green bonds and emerging stock markets. Utilizing multifractal detrended cross-correlation analysis (MFDCCA) on return and volatility series, our findings reveal significant cross-correlations between green bonds and emerging stock markets. The MFDCCA results uncover multifractal features and long-range cross-correlations between the two assets. Notably, volatility cross-correlations exhibit persistent behavior, while return cross-correlations vary across small and large fluctuation periods. These findings hold practical implications for policymakers and investors involved in green bonds and emerging stock markets.

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The Multifractal Phenomenon of Stock Price Caused by “Tesla Rights Defense Event”

Wang,

Xu,

et al. 2024

Fluct. Noise Lett.

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In this paper, we explore the periodicity of the multifractal phenomenon of stock price caused by public relations events using the multifractal detrended fluctuation analysis (MF-DFA) method. The Tesla stock closing price in the context of the Tesla rights defense event is used to obtain the generalized Hurst exponent and multifractal spectrum. We find that the stock price exhibits multifractal characteristics. Afterwards, we conduct a multifractal time-varying analysis using high-frequency data for 12 time periods before and after the Tesla rights defense event, which happened on 19 April 2021. We calculate the [Formula: see text] and [Formula: see text] before and after the rights defense event to measure the degree of multifractal of Tesla stock price. In addition, we also compute the difference between the two [Formula: see text] and two [Formula: see text], which are regarded as [Formula: see text] and [Formula: see text]. The results show that the Tesla stock market efficiency degree raised as the period time increases until the eighth period. And after the eighth period, both [Formula: see text] and [Formula: see text] tend to be stable, and the degree of market efficiency caused by the Tesla rights defense event remains almost unchanged. In addition, we use three broad market indices in the context of the Russia–Ukraine conflict to test the universality. The three broad market indices are Dow Jones Industrial Average (DJIA), Shanghai Stock Exchange Composite Index (SSEC) and Nikkei 225 ETF (N225). The results demonstrate that with the extending of time period, [Formula: see text] and [Formula: see text] gradually stabilize, indicating that public memorability will diminish and the market efficiency almost remains unchanged.

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Exploring the Asymmetric Multifractal Characteristics of Price–Volume Cross-Correlation in the Chinese Rebar Futures Market Based on MF-ADCCA

Cited by 3 publications

References 51 publications

Multifractal Detrended Cross-Correlations between Green Bonds and Commodity Markets: An Exploration of the Complex Connections between Green Finance and Commodities from the Econophysics Perspective

Multifractal Detrended Cross-Correlations between Green Bonds and Commodity Markets: An Exploration of the Complex Connections between Green Finance and Commodities from the Econophysics Perspective

An Econophysics Perspective on Green Bonds and Stock Market Nexus: Can Green Finance be an Investment Option for Emerging Stock Markets?

The Multifractal Phenomenon of Stock Price Caused by “Tesla Rights Defense Event”

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