| As the development of economic globalization and financial integration has brought the interconnection between financial markets increasingly closer,the foreign exchange market and the stock market as two of the major financial sub-markets draw the attention of the public undoubtedly.According to historical experience,the linkage between foreign exchange market and stock market exits,as well as the effect of risk transfer.Therefore,this paper introduces the theoretical basis in the correlation between foreign exchange market and stock market,and then selects the most representative indexes of the foreign exchange market and the stock market,namely,RMB/USD exchange rate and SSE Composite Index as the research object,trying to analyze their fractal characteristics on the basis of the long-range correlations.With systematically analysis of the fluctuation characteristics on the exchange return and stock return as well as its macroeconomic factors,we try to provide some reference and suggestion for rational investment of investors,macro economic control and financial stability of the country.In this paper,the Multifractal Detrended Fluctuation Analysis(MF-DFA)is used to analyze long-range auto-correlations and multifractal characteristics of the series of RMB/USD exchange rate return and the yield of SSE Composite Index,and the Multifractal Cross-Correlation Analysis(MFCCA)to study the cross-correlations and multifractal characteristics between the two.The empirical results show that yield series of RMB/USD and SSE Composite Index are both stongly persistent(positive)and have multifractal characteristics,and the degree of the RMB/USD return series is larger than that of the SSE Composite Index,suggesting the risks at this stage are even greater.The paper also shows the cross-correlated behavior between the two is positively persistent,indicating that the impact of policies introduced on the market should be taken into consideration. |
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