EconPapers    
Economics at your fingertips  
 

Multifractal detrended cross-correlations between the Chinese exchange market and stock market

Cao Guangxi, Longbing Xu and Jie Cao

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 20, 4855-4866

Abstract: Based on the daily price data of the Chinese Yuan (RMB)/US dollar exchange rate and the Shanghai Stock Composite Index, we conducted an empirical analysis of the cross-correlations between the Chinese exchange market and stock market using the multifractal cross-correlation analysis method. The results demonstrate the overall significance of the cross-correlation based on the analysis of a statistic. Multifractality exists in cross-correlations, and the cross-correlated behavior of small fluctuations is more persistent than that of large fluctuations. Moreover, using the rolling windows method, we find that the cross-correlations between the Chinese exchange market and stock market vary with time and are especially sensitive to the reform of the RMB exchange rate regime. The previous reduction in the flexibility of the RMB exchange rate in July 2008 strengthened the persistence of cross-correlations and decreased the degree of multifractality, whereas the enhancement of the flexibility of the RMB exchange rate in June 2010 weakened the persistence of cross-correlations and increased the multifractality. Finally, several relevant discussions are provided to verify the robustness of our empirical analysis.

Keywords: Multifractal detrended cross-correlation; Chinese exchange market; Chinese stock market; Rolling windows (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (72) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437112004062
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:20:p:4855-4866

DOI: 10.1016/j.physa.2012.05.035

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-12-17
Handle: RePEc:eee:phsmap:v:391:y:2012:i:20:p:4855-4866