Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets

Cao Guangxi, Minjia Zhang and Qingchen Li

Physica A: Statistical Mechanics and its Applications, 2017, vol. 472, issue C, 67-76

Abstract: This study focuses on multifractal detrended cross-correlation analysis of the different volatility intervals of Mainland China, US, and Hong Kong stock markets. A volatility-constrained multifractal detrended cross-correlation analysis (VC-MF-DCCA) method is proposed to study the volatility conductivity of Mainland China, US, and Hong Kong stock markets. Empirical results indicate that fluctuation may be related to important activities in real markets. The Hang Seng Index (HSI) stock market is more influential than the Shanghai Composite Index (SCI) stock market. Furthermore, the SCI stock market is more influential than the Dow Jones Industrial Average stock market. The conductivity between the HSI and SCI stock markets is the strongest. HSI was the most influential market in the large fluctuation interval of 1991 to 2014. The autoregressive fractionally integrated moving average method is used to verify the validity of VC-MF-DCCA. Results show that VC-MF-DCCA is effective.

Keywords: Volatility-constrained; Multifractal; Cross-correlation; Stock markets (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:472:y:2017:i:c:p:67-76

DOI: 10.1016/j.physa.2017.01.019

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