Co-movements between Shanghai Composite Index and some fund sectors in China

Jian Wang, Wei Shao, Chenmin Ma, Wenbing Chen and Junseok Kim

Physica A: Statistical Mechanics and its Applications, 2021, vol. 573, issue C

Abstract: In this article, we analyzed the cross-correlations between Shanghai Composite Index (SSEC) and some fund sectors in China. Four high-volume fund sectors such as finance, medicine, new energy, and consumption sectors were investigated. Multifractal Cross-Correlation Analysis (MFCCA) approach was conducted for the empirical researches of the long-range correlations for time series pairs. The obtained multifractal characteristics showed that the finance sector achieved the highest persistence of cross-correlations, then the new energy, consumption, and medicine sector. Furthermore, the Δλ of finance sector is the greatest among other sectors, which indicated that the multifractality of cross-correlations between SSEC and finance sector was the strongest, and then the medicine sector has the weakest multifractality of cross-correlations. In addition, we utilized one-tailed Student’s t-test to further evaluate the multifractality of cross-correlations, the results verified our conclusion.

Keywords: Multifractality; Fund; SSEC; Hurst exponent (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:573:y:2021:i:c:s0378437121002533

DOI: 10.1016/j.physa.2021.125981

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