Quantifying the Cross-Correlations between Online Market Participation Willingness and Stock Market Dynamics
Joint Authors
Li, Xiao
Chu, Gang
Zhang, Yongjie
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-20, 20 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-06-24
Country of Publication
Egypt
No. of Pages
20
Main Subjects
Abstract EN
The investors’ market participation willingness plays a vital role in the decision-making process of asset allocation.
With the newly emerged dataset of investors’ market participation willingness, this paper provides the first evidence on the dynamic relationship between market participation willingness and the market dynamics in the Chinese stock market.
We select four typical Chinese stock market indices, i.e., SSE50 Index, CSI300 Index, Small and Medium Enterprise Market Index, and Growth Enterprise Market Index, to represent different aspects of the Chinese stock market.
Moreover, we use mutual information to measure the overall dependence between market participation willingness and stock market and employ the DCCA cross-correlation coefficient and MF-DCCA to investigate the cross-correlation between market participation willingness and market dynamics.
We find that there exist overall dependence and power-law cross-correlation between market participation willingness and the Chinese stock market, and the cross-correlations are significantly multifractal.
American Psychological Association (APA)
Chu, Gang& Li, Xiao& Zhang, Yongjie. 2020. Quantifying the Cross-Correlations between Online Market Participation Willingness and Stock Market Dynamics. Complexity،Vol. 2020, no. 2020, pp.1-20.
https://search.emarefa.net/detail/BIM-1145262
Modern Language Association (MLA)
Chu, Gang…[et al.]. Quantifying the Cross-Correlations between Online Market Participation Willingness and Stock Market Dynamics. Complexity No. 2020 (2020), pp.1-20.
https://search.emarefa.net/detail/BIM-1145262
American Medical Association (AMA)
Chu, Gang& Li, Xiao& Zhang, Yongjie. Quantifying the Cross-Correlations between Online Market Participation Willingness and Stock Market Dynamics. Complexity. 2020. Vol. 2020, no. 2020, pp.1-20.
https://search.emarefa.net/detail/BIM-1145262
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1145262