Multifractal analysis of Japan and China stock markets in different economy periods

The stock market fluctuation appears different dynamical characteristics in different economy development periods. As fractal has lots of advantages when describing the property of the price fluctuations, based on the multifractal detrended fluctuation analysis (MF-DFA), the empirical research were brought forward to Japan stock market indices of the seven economy periods and China stock market indices of the three economy periods respectively. The results show that all the indices of Japan and China stock market have obvious multifractal properties, which differ from each other significantly and have some relations with the different economy status. And then, self-organizing feature map (SOM) neural network categorized Japan stock market indices of the seven economy periods, which tested and verified that MF-DFA can describe the dynamic characteristics of stock market in different time accurately. At last, some beneficial implications for China economy development are obtained by comparing the time-varying multifractal properties of Japan and China stock markets.