TITLE:
Multifractal Analysis of the Interaction between Chinese and American Stock Markets
AUTHORS:
Yanjun Qiu, Cheng Ye
KEYWORDS:
MF-DCCA, Financial Crisis, Interaction Relationship, Multifractal
JOURNAL NAME:
Open Journal of Statistics,
Vol.9 No.1,
February
28,
2019
ABSTRACT: In this
paper, we select yield series of the SSE index and the S & P 500 index as
the research object. Firstly, we take the financial crisis as the dividing
point, and decompose the whole sample period into three periods: before the
financial crisis, during the financial crisis, and after the financial crisis.
Secondly, the degree of interaction between Chinese and American stock markets
was tested and calculated in stages, and the cross-correlation relationship
became more significant after the financial crisis. Then the MF-DCCA method is
used to analyze the multifractal interaction of the whole period. It is found
that the interaction relationship is multifractal in the short-term and
long-term, and shows stronger in the short-term. In addition, the interaction
relationship is persistent for small fluctuations in the short-term, and it is
anti-sustainability in the case of large fluctuations; it is persistent in all
fluctuations in the long run. Finally, the multifractal analysis was carried
out for the three periods. It was found that during the financial crisis, the
interaction had stronger multifractality and volatility, and the risk was
higher.