We utilize the multifractal detrended cross-correlation analysis (MF-DCCA) to investigate the cross-correlations between the US economic policy uncertainty (EPU) and US stock markets in the framework of Fractal Market Hypothesis (FMH). The data contain daily closing values of EPU, and the returns of Dow Jones Industrial Average Index (DJI), S&P 500 index (GSPC) and NASDAQ Composite Index (IXIC). Our empirical results show that changes in EPU and fluctuations in the US stock markets interact in a nonlinear way. Furthermore, there exists significant multifractality in the cross-correlations between EPU and stock markets. The cross-correlations exhibit dynamics and are affected by major international events. We capture the underlying mechanisms such as multifractality and nonlinear relation that dominate EPU-US stock markets nexus by means of FMH. The findings add a new dimension to the existing literature, and are important for market participants to adjust investment decisions.

中文翻译：

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经济政策不确定性和股票市场：多重分形交叉相关分析

我们利用多重分形去趋势互相关分析 (MF-DCCA) 在分形市场假设 (FMH) 的框架内研究美国经济政策不确定性 (EPU) 与美国股市之间的互相关。数据包含 EPU 的每日收盘价，以及道琼斯工业平均指数 (DJI)、标准普尔 500 指数 (GSPC) 和纳斯达克综合指数 (IXIC) 的回报。我们的实证结果表明，EPU 的变化和美国股市的波动以非线性方式相互作用。此外，EPU与股票市场之间的互相关存在显着的多重分形。互相关表现出动态并受到重大国际事件的影响。我们通过 FMH 捕捉主导 EPU-US 股票市场关系的潜在机制，例如多重分形和非线性关系。