TY - JOUR
T1 - Financial liberalization and stock market cross-correlation
T2 - MF-DCCA analysis based on Shanghai-Hong Kong Stock Connect
AU - Ruan, Qingsong
AU - Zhang, Shuhua
AU - Lv, Dayong
AU - Lu, Xinsheng
N1 - Publisher Copyright:
© 2017 Elsevier B.V.
PY - 2018/2/1
Y1 - 2018/2/1
N2 - 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.
AB - 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.
KW - Financial liberalization
KW - MF-DCCA
KW - MF-DFA
KW - Shanghai-Hong Kong Stock Connect
KW - Stock market cross-correlation
UR - http://www.scopus.com/inward/record.url?scp=85031306392&partnerID=8YFLogxK
U2 - 10.1016/j.physa.2017.09.031
DO - 10.1016/j.physa.2017.09.031
M3 - Article
AN - SCOPUS:85031306392
SN - 0378-4371
VL - 491
SP - 779
EP - 791
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
ER -