Work

Cross-correlation and multifractality analysis of the Chinese and American stock markets based on the MF-DCCA model

Year: 2024

Type: article

Abstract: Objective: To compare the multifractal features and factors of the Chinese and American stock markets and their correlation, complexity and uncertainty. Methods: The paper analyzes the CSI 300 and S&P 500 indices from March 2018 to March 2023 using the MF-DCCA model and removes the long-term memory and nonlinear effects by random reshuffling and phase processing methods. Results: The paper shows that (1) CSI 300 and S&P 500 have multifractal features, with different long-term memory, complexity and irregularity at different scales; (2) The markets are fractal movements influenced by investors' irrationality and expectations, not efficient markets; (3) Long-term memory and nonlinear effects cause the multifractal features. The paper offers a new perspective and method for the market investors and regulators.

Source: Heliyon

DOI: 10.1016/j.heliyon.2024.e36537

Authors: Yijun Chen, Jun-hao Zhang, Lei Lu, Zi-miao Xie

Institutions: Macau University of Science and Technology, Guizhou University of Commerce, City University of Macau, Peking University, Shanghai Lida University

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $2,100

Funders: Guizhou Science and Technology Department, Department of Education of Guizhou Province