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- W4376566005 abstract "The daily price limits in the ChiNext stock market were relaxed from [Formula: see text]% to [Formula: see text]% on 24 August 2020. Using the multifractal detrended moving average cross-correlation analysis (MF-X-DMA) method, we find that relaxing daily price limits leads to a greater degree of multifractality of the ChiNext stock market, suggesting that the relaxation of daily price limits harms stock market efficiency. In addition, the positive cross-correlation between ChiNext and Chinese main board stock markets becomes weaker, i.e., relaxing daily price limits also decreases the connection between ChiNext and other stock markets. Moreover, there is an increase in the degree of the cross-correlation multifractality between ChiNext and Chinese main board stock markets, suggesting that the linkage of ChiNext and other stock markets is more complicated and risky after the relaxation of daily price limits. Our findings fulfill related literature from the perspective of multifractality and have important implications for investors." @default.
- W4376566005 created "2023-05-16" @default.
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- W4376566005 date "2023-08-16" @default.
- W4376566005 modified "2023-09-27" @default.
- W4376566005 title "Relaxing Daily Price Limits and Stock Market Cross-Correlation: Evidence from MF-X-DMA Analysis" @default.
- W4376566005 doi "https://doi.org/10.1142/s0219477523500426" @default.
- W4376566005 hasPublicationYear "2023" @default.
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