The Multifractal Analysis on Stock Market Returns in China
中国股市收益率的多重分形分析

This paper researches multifractality of Shanghai synthesis index returns and Shenzhen composition index returns by use of MF-DFA. The results show both Shanghai synthesis index returns and Shenzhen composition index returns have multifractality, present long-rang correlation and fat trail distribution; Shenzhen composition index returns has stronger correlation than Shanghai synthesis index, thus the fluctuation of Shanghai synthesis index is bigger than that of Shenzhen composition index returns.