Burugupalli S
Several papers have documented the cross-correlations across wide range of markets using different methods and the results are being used for the improvisation of market efficiency. In this paper, we have investigated the crosscorrelations between Gold market and WTI Crude oil market using MF-X-DFA. Quantitatively, we have employed the recently developed MF-X-DFA method for the data of Gold and WTI Crude oil markets and we have confirmed the existence of cross-correlation between Gold and Crude oil markets. We have also found that these cross-correlations are strongly multifractal in the short term and weakly multifractal in long the term. Moreover, their behavior for small fluctuations is persistent and those of large fluctuations are anti persistent in the short term. Cross-correlations of very small fluctuations and large fluctuations are persistent but whereas for small fluctuations are anti-persistent in the long term. Furthermore, based on multifractal spectrum, we have produced substantial evidences to determine crosscorrelation behaviors exhibit multifractal features. Our results have significant implications to market efficiency.
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