As the cornerstone of modern finance theory, EMH has promoted the development of finance theory dramatically and shown a great guiding significance for financial practice. However, with the development of data process ability, anomalies against EMH has been increasingly found. Some researchers began to apply nonlinear analysis method in statistical physics to financial area in order to get a more accurate model of the market. Fractal analysis is one of the nonlinear analysis methods which has been widely used in financial study. In this paper, multi- fractal analysis was used to study the efficiency of SSE and co-movement between SSE and SEHK.Through the multi-fractal detrended fluctuation analysis(MF-DFA) of highfrequency return data of SSE, the long range correlation and thick tail distributions were discovered, which can lead to a conclusion that SSE is not efficient. At the same, the co-movement between SSE and SEHK was proven to exist from a multi-fractal perspective. The further study for the reason of causing this co-movement shown that China's macro-economic is the key factor and no evidence for contagion between markets has been found. |