Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 391, Issue 20, Pages 4855-4866Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2012.05.035
Keywords
Multifractal detrended cross-correlation; Chinese exchange market; Chinese stock market; Rolling windows
Categories
Funding
- National natural Science Foundation of China [70901044, 71073100]
- Science Foundation of Postdoctors in China [20100480577]
- Foundation of Jiangsu Government for Overseas Studies
- Qinglan Engineering Foundation of Jiangsu Provincial Department of Education
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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.
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