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

被引：129

作者：

Cao, Guangxi ^{[1
,2
,3
]}

Xu, Longbing ^{[3
]}

Cao, Jie ^{[1
]}

机构：

[1] Nanjing Univ Informat Sci & Technol, Sch Econ & Management, Nanjing 210044, Jiangsu, Peoples R China

[2] Univ York, Dept Econ & Related Studies, York YO10 5DD, N Yorkshire, England

[3] Shanghai Univ Finance & Econ, Sch Finance, Shanghai 200433, Peoples R China

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2012年 / 391卷 / 20期

基金：

中国国家自然科学基金;

关键词：

Multifractal detrended cross-correlation; Chinese exchange market; Chinese stock market; Rolling windows; TIME-SERIES; MOVING AVERAGE; CURRENCY; COMPONENTS; EFFICIENCY; RATES;

D O I：

10.1016/j.physa.2012.05.035

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：4855 / 4866

页数：12

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