Quantifying the Cross-Correlations between Online Market Participation Willingness and Stock Market Dynamics
Table 3
The detrended cross-correlation coefficient () for a given window size .
Size (s)
10
50
100
150
200
250
300
350
400
(A) The detrended cross-correlation coefficient between and market returns
SSE50
0.618
0.630
0.657
0.652
0.649
0.673
0.677
0.639
0.634
CSI300
0.651
0.652
0.673
0.666
0.654
0.676
0.681
0.648
0.662
SME
0.671
0.670
0.698
0.668
0.646
0.642
0.637
0.615
0.663
GEM
0.661
0.682
0.693
0.672
0.659
0.661
0.660
0.632
0.658
(B) The detrended cross-correlation coefficient between and market volume
Size (s)
10
50
100
150
200
250
300
350
400
SSE50
0.548
0.574
0.544
0.567
0.557
0.574
0.584
0.637
0.589
CSI300
0.568
0.593
0.559
0.559
0.564
0.570
0.581
0.617
0.599
SME
0.619
0.608
0.621
0.615
0.638
0.642
0.648
0.627
0.656
GEM
0.599
0.614
0.614
0.605
0.610
0.644
0.629
0.631
0.647
(C) The detrended cross-correlation coefficient between and market volatility
Size (s)
10
50
100
150
200
250
300
350
400
SSE50
0.414
0.519
0.495
0.473
0.552
0.578
0.598
0.617
0.587
CSI300
0.424
0.518
0.506
0.529
0.556
0.559
0.586
0.648
0.558
SME
0.433
0.507
0.524
0.551
0.576
0.556
0.572
0.586
0.550
GEM
0.495
0.541
0.565
0.604
0.611
0.596
0.608
0.636
0.599
This table reports the detrended cross-correlation coefficient () between investors’ market participation willingness () and stock market in function of time scale . (A) reports between the and stock returns; (B) reports between the and stock trading volume; (C) reports between the and stock price volatility.
