期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 491, 期 -, 页码 779-791出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2017.09.031
关键词
Shanghai-Hong Kong Stock Connect; MF-DFA; MF-DCCA; Financial liberalization; Stock market cross-correlation
Based on the implementation of Shanghai-Hong Kong Stock Connect in China, this paper examines the effects of financial liberalization on stock market comovement using both multifractal detrended fluctuation analysis (MF-DFA) and multifractal detrended cross correlation analysis (MF-DCCA) methods. Results based on MF-DFA confirm the multifractality of Shanghai and Hong Kong stock markets, and the market efficiency of Shanghai stock market increased after the implementation of this connect program. Besides, analysis based on MF-DCCA has verified the existence of persistent cross-correlation between Shanghai and Hong Kong stock markets, and the cross-correlation gets stronger after the launch of this liberalization program. Finally, we find that fat-tail distribution is the main source of multifractality in the cross-correlations before the stock connect program, while long-range correlation contributes to the multifractality after this program. (C) 2017 Elsevier B.V. All rights reserved.
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