Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets

In this paper, we investigate the cross-correlations between the stock market in China and markets in Japan, South Korea and Hong Kong. We use not only the qualitative analysis of the cross-correlation test, but also the quantitative analysis of the MF-X-DFA. Our findings confirm the existence of cross-correlations between the stock market in China and markets in Japan, South Korea and Hong Kong, which have strongly multifractal features. We find that the cross-correlations display the characteristic of multifractality in the short term. Moreover, the cross-correlations of small fluctuations are persistent and those of large fluctuations are anti-persistent in the short term, while the cross-correlations of all kinds of fluctuations are persistent in the long term. Furthermore, based on the multifractal spectrum, we also find that the multifractality of cross-correlation between stock markets in China and Japan are stronger than those between China and South Korea, as well as between China and Hong Kong.