The spillover effect of COVID-19 on US financial markets-based on MF-DCCA method

被引：0

作者：

Lin R. ^{[1
]}

Ying L. ^{[2
]}

Wang Z. ^{[1
]}

机构：

[1] Fuzhou University of International Studies and Trade, No. 28 Yuhuan Street Shouzhan New District, Fuzhou City, Fujian Province, Changle

[2] Fujian Agriculture and Forestry University, No. 15 Shangxiadian Road Cangshan District, Fujian Province, Fuzhou City

来源：

International Journal of Industrial and Systems Engineering | 2023年 / 45卷 / 04期

关键词：

COVID-19; detrended cross correlation; MF-DCCA; multifractal;

D O I：

10.1504/IJISE.2023.135773

中图分类号：

学科分类号：

摘要：

This paper uses the S&P 500 (SPX.GI), the US dollar index (FTSE.GI) and the Libor interest rate to represent the US stock market, foreign exchange market and currency market respectively. The multifractal trend cross correlation analysis (MF-DCCA) method is used to study the influence of COVID-19 on the cross correlation between the three major financial markets in the USA. The results show that there are multifractal characteristics among US stock market, money market and foreign exchange market, which show the characteristics of persistence in small fluctuation and anti-persistence in large fluctuation. Moreover, the impact of COVID-19 has greatly affected the cross correlation between the multifractal characteristics of the three financial markets in the USA. The conclusions of this paper are helpful to sort out the nonlinear dependence and potential impact dynamic mechanism among the three major financial markets in the USA. © 2023 Inderscience Enterprises Ltd.

引用

页码：501 / 514

页数：13

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