Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets

Feng Ma (), Yu Wei and Dengshi Huang

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 7, 1659-1670

Abstract: In this paper, we investigate the cross-correlations between the stock market in China and markets in Japan, South Korea and Hong Kong. We use not only the qualitative analysis of the cross-correlation test, but also the quantitative analysis of the MF-X-DFA. Our findings confirm the existence of cross-correlations between the stock market in China and markets in Japan, South Korea and Hong Kong, which have strongly multifractal features. We find that the cross-correlations display the characteristic of multifractality in the short term. Moreover, the cross-correlations of small fluctuations are persistent and those of large fluctuations are anti-persistent in the short term, while the cross-correlations of all kinds of fluctuations are persistent in the long term. Furthermore, based on the multifractal spectrum, we also find that the multifractality of cross-correlation between stock markets in China and Japan are stronger than those between China and South Korea, as well as between China and Hong Kong.

Keywords: Stock markets; Multifractal detrended cross-correlation analysis; Cross-correlations; Rolling windows (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (58)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:7:p:1659-1670

DOI: 10.1016/j.physa.2012.12.010

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