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Using one minute high-frequency data of the Shanghai Composite Index (SHCI) and the Shenzhen Composite Index (SZCI) (2007–2008), we employ the detrended fluctuation analysis (DFA) and the detrended cross correlation analysis (DCCA) with rolling window approach to observe the evolution of market efficiency and cross-correlation in pre-crisis and crisis period. Considering the fat-tail distribution...
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