| Energy market and the stock market are an important part of financial market,under the background of economic globalization,the complexity of financial market and the correlation between market has received the widespread attention.A lot of research has shown that financial markets are very complicated dynamic system,usually presents obvious fractal characteristics.This paper USES the theory and method of multifractal analysis and study of domestic and foreign energy market and stock market volatility characteristics of G20 members and the relation between the market and the market,and reveal the formation mechanism of complex wave behavior.For energy market,this article selects the energy index,the mainland has probably new energy subject index and WTI crude oil daily closing price as the domestic market of traditional energy,new energy market and the international oil market,using the method of MF-DCCA research domestic and international energy market volatility characteristics and interactive relationship.The empirical results show that the three markets have obvious volatility clustering,shows the characteristics of the distribution of the thick tail "rush",three markets interactive relationship exists between the multifractal properties,and the interaction relationship between the new energy and traditional energy index of multifractal strongest,It means that the domestic energy market is an inefficient market,and the fluctuation of the market is greatly affected by factors outside the market.For the stock market,this article selects the G20 members share index,the world’s largest economic organization as the research object,using the mutual information analysis,MF-DFA and MF-DCCA method research the G20 interaction relationship between stock market,market risk and volatility spillover effect between market size.In particular,China and 17 countries in the G20 is studied the interaction relationship between stock index,and nine developed countries in the G20 and nine indexes respectively in the emerging world and the developed market index,the interactive relationship between emerging markets index.The empirical results show that the these interactive relationship exists multifractal characteristics,and China’s stock index with other emerging countries and emerging markets index respectively between multifractal nature strength is higher than the stock index stock index respectively with developed countries and the developed market index between multifractal strength.In addition,the G20 countries in emerging countries because of the risk is smaller than developed countries because of the risks,while emerging markets index contains the risk is bigger than the developed market index.Finally,we give the summary and prospect of the whole paper. |
