Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm

► CSI 300 market becomes closer to efficiency after introduction of its future market. ► CSI 300 index market perform significant multifractal behavior. ► Extreme events and fat-distribution are the main source of multifractality. ► Scaling range can cause the knotting phenomena in multifractality spectrum.