Quantifying the Cross-Correlations between Online Market Participation Willingness and Stock Market Dynamics
Table 1
Summary statistics.
Mean
Std. dev.
Skew.
Kurt.
Max
Min
(A) Yu’e Bao Sentiment Index
1033.156
290.028
1.555
7.505
2743.41
415.1
0.00754
0.0457
1.169
7.064
1.284
−0.563
(B) Chinese stock market return
SSE50
0.000266
0.00709
−0.839
10.336
0.0328
−0.0428
CSI300
0.000261
0.00691
−1.189
10.062
0.0282
−0.0398
SME
0.000211
0.00789
−1.042
7.507
0.0287
−0.0382
GEM
0.000165
0.00934
−0.669
5.835
0.0301
−0.0405
(C) Chinese stock market trade volume
SSE50
0.0339
0.461
1.521
6.315
2.528
−0.752
CSI300
0.0254
0.351
1.189
5.257
1.968
−0.705
SME
0.0222
0.219
0.407
3.462
0.931
−0.758
GEM
0.0358
0.232
0.448
3.343
0.819
−0.767
(D) Chinese stock market volatility
SSE50
0.000276
0.000362
2.506
9.999
0.00221
0.0000259
CSI300
0.000261
0.000343
2.441
9.240
0.00195
0.0000249
SME
0.000321
0.000331
1.819
5.489
0.00152
0.0000605
GEM
0.0004502
0.000439
1.659
4.928
0.00204
0.0000908
This table reports the mean, standard deviation (Std. dev.), skewness (Skew.), kurtosis (Kurt.), minimum (Min), and maximum (Max) of Yu’e Bao Sentiment Index ( and ), the return, volume, and volatility for four stock market indices: SSE50, CSI300, SME, and GEM. The sample period extends from May 5, 2014, through May 10, 2018.
