Quantifying the Cross-Correlations between Online Market Participation Willingness and Stock Market Dynamics
Table 4
Results of the MF-DCCA scaling exponent for Chinese stock market returns.
SME-YSI
SSE50-YSI
CSI300-YSI
GME-YSI
−10
0.696
0.716
0.717
0.763
−9
0.686
0.707
0.706
0.753
−8
0.674
0.696
0.694
0.741
−7
0.659
0.683
0.679
0.727
−6
0.643
0.668
0.662
0.709
−5
0.622
0.651
0.642
0.688
−4
0.598
0.632
0.620
0.663
−3
0.572
0.613
0.598
0.633
−2
0.547
0.597
0.580
0.599
−1
0.527
0.589
0.573
0.563
0
0.515
0.587
0.575
0.527
0.181
0.129
0.142
0.236
1
0.499
0.578
0.573
0.491
2
0.486
0.552
0.553
0.457
3
0.471
0.517
0.522
0.424
4
0.454
0.480
0.489
0.395
5
0.439
0.448
0.460
0.370
6
0.426
0.421
0.436
0.349
7
0.414
0.398
0.416
0.331
8
0.404
0.381
0.400
0.316
9
0.395
0.366
0.388
0.304
10
0.383
0.354
0.377
0.294
0.116
0.224
0.196
0.197
This table reports the MF-DCCA scaling exponent between the returns of four stock market indices and market participation willingness with varying from −10 to 10. The symbol denotes the degree of multifractality for the large and small fluctuations of the returns and YSI.
