In this paper, the daily Hang Seng index in Hong Kong stock marker is analyzed by multifractal. The correlation of the parameters of the multifractal spectra with the variation of close return Z is studied statistically. It is found that the amount of the variation of return is correlated with the amount of Delta alpha of that day. The increase or decrease of the return is related to the positive or negative value of Deltaf. The gain probability and the increasing day's probability can be higher than 70% at the larger Deltaf region and be lower than 20% at the more negative region. (C) 2001 Elsevier Science B.V. All rights reserved. [References: 13]
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