Abstract: Cryptocurrency, an emerging financial market, has attracted extensive attention of scholars. The traditional research on cryptocurrency is often limited to the cryptocurrency market, and the research on the correlation between cryptocurrency and China’s stock market is relatively lacking.Based on the multifractal moving average cross-correlation analysis (MFXDMA), four types of cryptocurrencies (Bitcoin, Ethereum, Ripple and Litecoin), Shanghai Stock Exchange Index and Hang Seng Index are taken as the research objects, empirically analyzes the multifractal characteristics of the returns between the cryptocurrency single market and cross-market, and at the same time the multifractal characteristics of the cross-correlation of cryptocurrencies and the Shanghai Stock Index and the Hang Seng Index is focused on. The empirical results show that the returns of the individual markets of Bitcoin, Ethereum, Ripple, and Litecoin have long-term memory, asymmetric multifractal characteristics. Among the four cryptocurrencies markets, Ethereum is the most efficient, while Bitcoin is the least efficient. The cryptocurrency market has had a certain impact on the mainland stock market and Hong Kong stock market, and the cross-correlation between the markets has been strengthened, it also shows the asymmetrical multifractal characteristics.In the empirical analysis of the correlation between Bitcoin and China’s stock market, The MFXDMA method is compared with the commonly used MFXDFA and MFSMXA multifractal methods, and it is found that MFXDMA and MFSMXA have achieved similar results.By comparing and analyzing the cross-market of Bitcoin, Bitcoin, and Ethereum using the central and forward moving average method, experiments show that the results of this paper using the backward moving average are robust. Finally, the time-varying characteristics of single market and cross-market correlation and volatility function are studied by using sliding window technology. The results show that Bitcoin and Ethereum, Shanghai Stock Exchange Index and Hang Seng index have certain similarity in time-varying characteristics, and Shanghai Stock Exchange Index is more susceptible to the impact of cryptocurrency market than Hang Seng Index. The correlation between cryptocurrency and China’s stock market is studied, which is of great significance for the risk aversion of China’s stock market. It can be used as a reference for the cross-market portfolio research of cryptocurrency and China’s stock market and the financial risk supervision of relevant departments.

Key words: cryptocurrency; multifractal; moving average; cross-correlation