The spillover effect of COVID-19 on US financial markets-based on MF-DCCA method Online publication date: Fri, 05-Jan-2024
by Renzao Lin; Liang Ying; Zhe Wang
International Journal of Industrial and Systems Engineering (IJISE), Vol. 45, No. 4, 2023
Abstract: 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.
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