Nonlinear relationship between money market rate and stock market liquidity in China: A multifractal analysis.

ABSTRACT: This paper employs the multifractal detrended cross-correlation analysis (MF-DCCA) model to estimate the nonlinear relationship between the money market rate and stock market liquidity in China from a multifractal perspective, leading to a better understanding of the complexity in the relationship between the interest rate and stock market liquidity. The empirical results show that the cross-correlations between the money market rate and stock market liquidity present antipersistence in the long run and that they tend to be positively persistent in the short run. The negative cross-correlations between the interest rate and stock market liquidity are more significant than the positive cross-correlations. Furthermore, the cross-correlations between the money market rate and stock market liq

SUBMITTER: Sun Y 

PROVIDER: S-EPMC8051788 | biostudies-literature | 2021

REPOSITORIES: biostudies-literature