Researchers and authorities have become increasingly interested in how the COVID-19 pandemic has profoundly impacted the real economy and financial markets around the world since its outbreak in late 2019. Applying the methods of multifractal analysis, this paper investigates the fluctuation characteristics and market risks of Chinese industry and stock markets under the COVID-19 pandemic, and reveals the whole dynamics of industry and stock markets from the perspective of system theory. The empirical results show that the multifractal strength of the industry market has significantly increased during the pandemic with elevated systematic risk, while the situation is different for the stock market. Specifically, the Hurst surfaces generated using the multiscale technique intuitively visualize the dynamical behaviors of the systematic fluctuation of the Chinese industry and stock markets at various scales under the COVID-19 pandemic. Furthermore, it is found that the sources of multifractality of the two types of markets include long-range correlation and fat-tailed distribution, with the contribution of fat-tailed distribution being greater. The chi-square test is promoted in this paper to measure the contribution of the internal components of the multivariate system to the multifractality sources of the whole system, revealing that the real estate industry has a greater impact on the multifractality of the whole industry system, while the Shanghai Composite Index has a stronger influence on the whole stock system.
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