Cross-correlations between individual investor sentiment and Chinese stock market return: New perspective based on MF-DCCA

Qingsong Ruan, Haiquan Yang, Dayong Lv and Shuhua Zhang

Physica A: Statistical Mechanics and its Applications, 2018, vol. 503, issue C, 243-256

Abstract: Using stock market returns of two stock exchanges in China, this paper employs MF-DCCA to investigate the non-linear cross-correlation between individual investor sentimentand Chinese stock market return. We find that there exists a power-law cross-correlation between individual investor sentiment and Chinese stock market return, and the cross-correlations are significantly multifractal. In addition, the cross-correlation between individual investor sentiment and Shenzhen Component Index (SZSE) return is more anti-persistent than that between individual investor sentiment and Shanghai Composite Index (SSEC) return, implying that individual investor sentiment has a stronger impact on small stocks. Besides, long-range correlations, fat-tailed distribution and extreme value all contribute to the multifractality for cross-correlation between individual investor sentiment and SSEC return, while long-range correlation is the main source of multifractality for the cross-correlation between individual investor sentiment and SZSE return.

Keywords: Individual investor sentiment; MF-DCCA; Cross-correlations; China (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:503:y:2018:i:c:p:243-256

DOI: 10.1016/j.physa.2018.02.076

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