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

Authors: Renzao Lin; Liang Ying; Zhe Wang

Addresses: Fuzhou University of International Studies and Trade, No. 28 Yuhuan Street, Shouzhan New District, Changle, Fuzhou City, Fujian Province, China ' Fujian Agriculture and Forestry University, No. 15 Shangxiadian Road, Cangshan District, Fuzhou City, Fujian Province, China ' Fuzhou University of International Studies and Trade, No. 28 Yuhuan Street, Shouzhan New District, Changle, Fuzhou City, Fujian Province, China

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.

Keywords: COVID-19; multifractal; detrended cross correlation; MF-DCCA.

DOI: 10.1504/IJISE.2023.135773

International Journal of Industrial and Systems Engineering, 2023 Vol.45 No.4, pp.501 - 514

Received: 25 Nov 2021
Accepted: 26 Mar 2022
Published online: 05 Jan 2024 *

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