Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA

► Asymmetric multifractal scaling behaviors are studied in the Chinese stock markets. ► Multifractality degree with uptrends is stronger than with downtrends. ► Correlation asymmetries are stronger for large fluctuations. ► The main source of scaling asymmetry in SSCI is different from that in SZCI. ► The scaling asymmetry in the Chinese stock market is time-varying.