Study on Multifractal Fluctuation and Resonance of Securities Market Liquidity

Abstract

Abstract: The securities market is an important part of the financial system and its liquidity and resonance bear heavily on the stable operation of the financial system. If the abnormal fluctuation of securities liquidity and the resultant resonance cause liquidity drying-up, the securities market may face disaster and even fall into financial crisis. Considering that studying the characteristics of liquidity fluctuation and resonance in securities market is an important premise and theoretical basis for predicting abnormal liquidity fluctuation and complex resonance, this paper examines the multifractal characteristics of liquidity fluctuation and resonance by using the multifractal detrend correlation analysis method based on the Shanghai Stock Exchange 50 Index and 18-industry data. It is found that the liquidity of Shanghai 50 Index and 18-industry indexes all have multifractal characteristics, and the liquidity resonance between industry index and market index also has multifractal characteristics. Therefore, liquidity volatility and liquidity resonance are both predictable, so regulators can achieve the goal of preventing and resolving systemic financial crisis by monitoring liquidity volatility and resonance.

Key words: securities market, liquidity fluctuation, liquidity resonance, multifractal features

Chun Zhengjie, Tang Xiaowo. Study on Multifractal Fluctuation and Resonance of Securities Market Liquidity[J]. Management Review, 2021, 33(10): 81-89.

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