Detrended cross-correlation analysis on RMB exchange rate and Hang Seng China Enterprises Index
Bingchan Yang and
Physica A: Statistical Mechanics and its Applications, 2017, vol. 468, issue C, 91-108
In this paper, we investigate the cross-correlations between the Hang Seng China Enterprises Index and RMB exchange markets on the basis of a cross-correlation statistic test and multifractal detrended cross-correlation analysis (MF-DCCA). MF-DCCA has, at best, serious limitations for most of the signals describing complex natural processes and often indicates multifractal cross-correlations when there are none. In order to prevent these false multifractal cross-correlations, we apply MFCCA to verify the cross-correlations. Qualitatively, we find that the return series of the Hang Seng China Enterprises Index and RMB exchange markets were, overall, significantly cross-correlated based on the statistical analysis. Quantitatively, we find that the cross-correlations between the stock index and RMB exchange markets were strongly multifractal, and the multifractal degree of the onshore RMB exchange markets was somewhat larger than the offshore RMB exchange markets. Moreover, we use the absolute return series to investigate and confirm the fact of multifractality. The results from the rolling windows show that the short-term cross-correlations between volatility series remain high.
Keywords: RMB exchange markets; Hang Seng China Enterprises Index; Cross-correlations; Multifractal detrended cross-correlation analysis; Multifractal cross-correlation analysis (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:468:y:2017:i:c:p:91-108
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