With the rapid development of economic globalization, the stock markets in China and the US are increasingly linked. The fluctuation features and cross-correlations of the two countries’ markets have attracted extensive attention from market investors and researchers. In this paper, the fractal analysis methods including multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA) and coupled detrended cross-correlation analysis (CDCCA) are applied to explore the volatilities of CSI300 and SP500 sector stock indexes as well as the cross-correlations and coupling cross-correlations between the two corresponding sector stock indexes. The results show that the auto-correlations, cross-correlations and coupling cross-correlations have multifractal fluctuation characteristics, and that the cross-correlations are asymmetric. Additionally, the coupling cross-correlation strengths are distinct due to the different influence of long-range correlations and fat-tailed distribution. Further, the co-movement between China and the US sector stock markets is susceptible to external market factors such as major economic events and national policies.

中文翻译：

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中美板块股票市场相关性的多重分形波动分析

随着经济全球化的快速发展，中美股市的联系日益紧密。两国市场的波动特征和相互关联性引起了市场投资者和研究人员的广泛关注。本文采用多重分形非对称去趋势互相关分析（MF-ADCCA）和耦合去趋势互相关分析（CDCCA）等分形分析方法，研究沪深300和标普500板块股票指数的波动率以及交叉指数的波动率。两个对应行业股票指数之间的相关性和耦合互相关性。结果表明，自相关、互相关和耦合互相关具有多重分形波动特征，且互相关是不对称的。此外，由于长程相关和肥尾分布的不同影响，耦合互相关强度不同。此外，中美板块股市联动易受重大经济事件、国家政策等外部市场因素影响。