FRACTAL DETRENDED strongFLUCTUATIONstrong ANALYSIS OF CHINESE ENERGY.pdfVIP

International Journal of Bifurcation and Chaos, Vol. 20, No. 11 (2010) 3753–3768 c World Scientific Publishing Company DOI: 10.1142/S0218127410028082 FRACTAL DETRENDED FLUCTUATION ANALYSIS OF CHINESE ENERGY MARKETS JUNHUAN ZHANG and JUN WANG∗ College of Science, Beijing Jiaotong University, Beijing 100044, P. R. China ∗wangjun@bjtu.edu.cn Received January 21, 2010; Revised April 3, 2010 In this paper, we analyze and compare long-range power-law correlations of returns, absolute returns, squared returns, cubed returns and square waved returns for sixteen individual stocks from the block of energy sources of Chinese stock market and five stock indices (Shanghai Composite Index, Shenzhen Component Index, Dow Jones Industrial Average index, Nasdaq Composite Index, the Standard and Poor’s 500 Index) by using a detrended fluctuation analysis approach. The empirical evidence suggests that Shanghai Composite Index is very close to Shenzhen Component Index and Nasdaq, DJIA is very close to SP 500 in all cases. And the exponent trends of the returns are close to that of square waved returns. Also, five indices deviate from other sixteen individual energy stocks in all cases except square waved returns. Further, there are long-range correlations and persistence in volatility series of absolute returns and squared returns. Moreover, we investigate the long-term memory of these returns by applying Lo’s modified rescaled range statistic. We find that the China energy market exhibits fractal