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The asymptotic normality of the tests is obtained for elliptically symmetric distributions.  Let \\(X\\) denote a \\(p\\)-dimensional random vector with elliptically symmetric density  \\[ \\operatorname{det}(\\Omega_{X})^{-1/2}g_{X} \\left(\\|\\Omega_{X}^{-1/2}\\cdot (x-\\theta_{X})\\|\\right),  \\] where \\(\\theta_{X}\\) is the center of symmetry and \\(\\Omega_{X}\\) is symmetric and positive semidefinite, and let \\(X_{1},\\dots,X_{n}\\) be independent, identically distributed realizations of \\(X\\). Similarly, let \\(Y_{1},\\dots,Y_{n}\\) be independent, identically distributed realizations of the \\(q\\)-dimensional \\(Y\\) given by the density  \\[ \\operatorname{det}(\\Omega_{Y})^{-1/2}g_{Y} \\left(\\|\\Omega_{Y}^{-1/2}\\cdot (y-\\theta_{Y}) \\|\\right). \\] The proposed high-dimensional multivariate sign test for the independence of \\(X\\) and \\(Y\\) is  \\[ T= \\frac{n\\cdot \\displaystyle\\sum_{1\\leq i<j\\leq n}\\hat U_{X,i}^{\\top} \\hat U_{X,j} \\hat U_{Y,i}^{\\top} \\hat U_{Y,j}}{\\sqrt{2\\cdot \\displaystyle\\sum_{1\\leq i<j\\leq n}[\\hat U_{X,i}^{\\top} \\hat U_{X,j}]^{2} \\cdot \\displaystyle\\sum_{1\\leq i<j\\leq n}[\\hat U_{Y,i}^{\\top} v\\hat U_{Y,j}]^{2}}} \\]  with \\(\\hat U_{X,i} = U(X_{i}-\\hat \\theta_{X})\\), where \\(U\\) is the spatial sign function defined by \\(U(z) = z/\\|z\\|^{-1}\\) \\((z\\neq 0)\\) and \\(\\hat \\theta_{X}\\) is the spatial median defined as the minimizer of \\(L(\\theta) = \\sum_{i=1}^{n}\\|X_{i}-\\theta\\|\\); the definition of \\(\\hat U_{Y,j}\\) is analogous.  The authors also define the high-dimensional Spearman's rho test: with \\(\\sum^{\\ast}\\) denoting summation over distinct indices,  \\[  T_{S} = \\frac{\\sqrt{2n}\\sum^{\\ast}U(X_{i}-X_{j})^{\\top}U(X_{k}-X_{l})U(Y_{i}-Y_{l})^{\\top}U(Y_{k}-Y_{j})}{\\sqrt{\\sum^{\\ast}[U(X_{i}-X_{j})^{\\top}U(X_{k}-X_{l})]^{2}\\sum^{\\ast}[U(Y_{i}-Y_{j})^{\\top}U(Y_{k}-Y_{l})]^{2}}}; \\]  and the high-dimensional Kendall's tau test:  \\[ T_{K} = \\frac{n\\sum^{\\ast}U(X_{i}-X_{j})^{\\top}U(X_{k}-X_{l})U(Y_{i}-Y_{j})^{\\top}U(Y_{k}-Y_{l})}{\\sqrt{2\\sum^{\\ast}[U(X_{i}-X_{j})^{\\top}U(X_{k}-X_{l})]^{2}\\sum^{\\ast}[U(Y_{i}-Y_{j})^{\\top}U(Y_{k}-Y_{l})]^{2}}}. \\]  The authors show that under the null hypothesis that \\(X\\) and \\(Y\\) are independent, \\(T\\), \\(T_{S}\\), and \\(T_{K}\\) are asymptotically normally distributed if \\(p,q = O(n^{2})\\) and the covariance matrices of \\(X\\) and \\(Y\\) satisfy some smallness conditions. In a simulation-based analysis, it is shown that for multivariate \\(t\\)-distributions and mixture normal distributions, the tests above have better power than some alternative tests proposed in the literature. The tests are applied to weekly returns of S\\&P500 and CSI300 stocks to suggests that in most years, the stock returns in these indices are independent, but in certain periods their independence can be rejected at the 99\\% confidence level. Economic interpretations are given for the high correlation in 2010--2012 and 2016--2017. 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