Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program

In this paper, we study the multifractal scaling behaviour in Shanghai and Hong Kong stock markets by means of multifractal detrended fluctuation analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DCCA). The results show that the multifractal degrees of each stock market are larger after the Shanghai-Hong Kong Stock Connect Program (SHSCP) than before. Scaling analysis demonstrates that multifractality exists in cross-correlations, and the cross-correlation coefficients after the SHSCP are larger than those before the SHSCP. Moreover, an analysis of the origin of multifractality indicates that long-range correlation and fat-tailed distribution play important roles in the contributions of multifractality. Finally, the results via the sliding window procedure indicate that the multifractal degrees after the SHSCP are not significantly affected by the stock market turbulence in 2015.