Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price

• All the ten sector indices of Chinese stock market exist different degrees of multifractality.
• Cross-correlation analysis between WTI crude oil price and the ten sector indices of Chinese stock market is carried out.
• Efficient degrees via different efficient measures based on the generalized Hurst exponents are calculated.

In this paper, the multifractality and efficiency degrees of ten important Chinese sectoral indices are evaluated using the methods of MF-DFA and generalized Hurst exponents. The study also scrutinizes the dynamics of the efficiency of Chinese sectoral stock market by the rolling window approach. The overall empirical findings revealed that all the sectoral indices of Chinese stock market exist different degrees of multifractality. The results of different efficiency measures have agreed on that the 300 Materials index is the least efficient index. However, they have a slight diffidence on the most efficient one. The 300 Information Technology, 300 Telecommunication Services and 300 Health Care indices are comparatively efficient. We also investigate the cross-correlations between the ten sectoral indices and WTI crude oil price based on Multifractal Detrended Cross-correlation Analysis. At last, some relevant discussions and implications of the empirical results are presented.