Author(s)

Yanjun Qiu^*, Cheng Ye

Department of Statistics, College of Economics, Jinan University, Guangzhou, China.

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.

MF-DCCA, Financial Crisis, Interaction Relationship, Multifractal

Qiu, Y. and Ye, C. (2019) Multifractal Analysis of the Interaction between Chinese and American Stock Markets. Open Journal of Statistics, 9, 143-157. doi: 10.4236/ojs.2019.91011.