Multifractal Analysis Of Stock Markets And Foreign Exchange Markets In Brics

The World Health Organization officially declared the COVID-19 pandemic as a global pandemic on March 11,2020.The COVID-19 pandemic has caused unprecedented damage to the global economy and affected financial markets very extensively.This thesis takes stock markets and exchange rate markets of the BRICS as the main research objects,and uses multifractal analysis methods to study the fluctuation characteristics of the stock markets,the exchange rate markets and the cross-correlations between these different markets in the context of the epidemic.Firstly,this thesis uses multifractal detrended fluctuation analysis(MF-DFA)and multifractal detrended cross-correlation analysis(MF-DCCA)to explore the volatility characteristics of the BRICS stock markets and the cross-correlations between these different markets before and during the epidemic.The empirical results show that the fluctuation of the stock markets and the cross-correlations between different stock markets have multifractal characteristics both before and during the epidemic,and the epidemic has changed these fluctuation characteristics and the cross-correlations differently.Secondly,applying multivariate multifractal detrended fluctuation analysis(MV-MFDFA)and multivariate multifractal detrended cross-correlation analysis(MV-MFDCCA)to explore the fluctuation characteristics of the BRICS exchange rate system and the cross-correlations between the exchange rate system and the stock system before and during the epidemic.The empirical results show that the epidemic strengthens the multifractal characteristics of both the exchange rate system and the cross-correlations between the exchange rate system and the stock system.Then,this thesis also uses multifractal detrended cross-correlation analysis to study the relationship between U.S.economic policy uncertainty and the fluctuation of China’s financial markets,and finding that there are significant cross-correlations between them,and these cross-correlations have obvious multifractal characteristics.Finally,we give a summary of the thesis and further research prospects.