Complexity / 2020 / Article / Tab 3

Research Article

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)1050100150200250300350400

(A) The detrended cross-correlation coefficient between and market returns
SSE500.6180.6300.6570.6520.6490.6730.6770.6390.634
CSI3000.6510.6520.6730.6660.6540.6760.6810.6480.662
SME0.6710.6700.6980.6680.6460.6420.6370.6150.663
GEM0.6610.6820.6930.6720.6590.6610.6600.6320.658

(B) The detrended cross-correlation coefficient between and market volume
Size (s)1050100150200250300350400
SSE500.5480.5740.5440.5670.5570.5740.5840.6370.589
CSI3000.5680.5930.5590.5590.5640.5700.5810.6170.599
SME0.6190.6080.6210.6150.6380.6420.6480.6270.656
GEM0.5990.6140.6140.6050.6100.6440.6290.6310.647

(C) The detrended cross-correlation coefficient between and market volatility
Size (s)1050100150200250300350400
SSE500.4140.5190.4950.4730.5520.5780.5980.6170.587
CSI3000.4240.5180.5060.5290.5560.5590.5860.6480.558
SME0.4330.5070.5240.5510.5760.5560.5720.5860.550
GEM0.4950.5410.5650.6040.6110.5960.6080.6360.599

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.

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