The void fraction wave is a special physical phenomenon in a gas-liquid two-phase flow system. Understanding the propagation of the void fraction wave is of great significance for uncovering the physical mechanisms in both flow pattern transition and the fluid velocity measurement. In this study, detrended cross-correlation analysis (DCCA) is used to investigate the multi-scale cross-correlation characteristics of the coupled ARFIMA processes. It is found that the DCCA can effectively reveal the multi-scale cross-correlation dynamical behaviors of complex system. Then, we carry out the experimental test in a vertical gas-liquid two-phase flow pipe with small inner diameter. The DCCA is used to detect the cross-correlation characteristics of the void fraction wave on multiple time scales, and the growth rate of the cross-correlation level for the void fraction wave is observed on low time scales. Additionally, the spatial attenuation factor (SAF) of the void fraction wave is calculated to investigate the instability of the wave propagation. The SAF is close to zero under the transitional flow patterns, which means that the void fraction wave is in a stable propagating state. For bubble flows, the void fraction wave presents the attenuation characteristics, whilst the void fraction wave shows the amplification characteristics under the slug and churn flow patterns. Interestingly, the instability behaviors of the void fraction wave are always associated with its multi-scale cross-correlation characteristics. Specifically, the increasing rate of the wave cross-correlation level on low scales is much higher for transitional flow patterns, which is corresponding to the stable propagating characteristic of the void fraction wave. However, when the void fraction wave exhibits attenuation or amplification characteristics under other flow patterns, the increasing rate of the wave cross-correlation level on low scales is much lower.