Multifractal detrended cross-correlations between the Chinese exchange market and stock market

► We test cross-correlations between the RMB exchange market and stock market in China. ► Multifractal cross-correlations in Chinese financial markets vary with time. ► Multifractal cross-correlations are sensitive to the RMB exchange rate regime reform. ► Small fluctuations show more persistent cross-correlations than large fluctuations. ► Theoretical results of reference [39] are discussed by our results.