Multifractal detrended cross-correlations between Chinese stock market and three stock markets in The Belt and Road Initiative

In this paper, we apply MF-X-DMA method to investigate the multifractal features between Chinese stock index and three stock indexes in “The Belt and Road Initiative” in both global and local periods, and find the source of multifractality. The cross-correlation coefficients ρDMA show that these markets are positively and significantly correlated for different window intervals. The cross-correlations between Chinese stock market and the other three stock markets are multifractal and there exists more long-term trade behavior than short-term behavior. Compared with the pre-crisis period 2004-2008, the multifractal characteristics are much more persistent after “The Belt and Road Initiative” proposed. Finite-size effect, which contributes 55%-87% of the singularity width, is the most important component of multifractality between Chinese stock market and the stock markets in “The Belt and Road Initiative”, while both non-linear long-range correlations and fat-tail distributions are much less important components in multifractality.