Abstract
This paper employs multifractal detrended cross-correlation analysis (MF-DCCA) to study the cross-correlations between the Chinese RMB exchange rate index and market anxiety using data from June 21, 2010 to December 28, 2018. Cross-correlation statistics and coefficients verify the existence of cross-correlations, and the MF-DCCA method quantitatively confirms the presence of multifractality between the Chinese RMB index and market anxiety for both the long- and short-term. The results of the rolling window analysis reveal that cross-correlation scaling exponents of the Chinese RMB index and market anxiety are sensitive to external shocks.
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