Quantifying the Cross-Correlations between Online Market Participation Willingness and Stock Market Dynamics
Table 5
Results of the MF-DCCA scaling exponent for Chinese stock market volume.
SME-YSI
SSE50-YSI
CSI300-YSI
GME-YSI
−10
0.859
0.909
0.968
0.878
−9
0.853
0.901
0.956
0.871
−8
0.845
0.891
0.943
0.862
−7
0.835
0.879
0.926
0.852
−6
0.824
0.865
0.907
0.841
−5
0.812
0.849
0.883
0.827
−4
0.798
0.829
0.856
0.812
−3
0.782
0.807
0.825
0.793
−2
0.764
0.783
0.792
0.772
−1
0.745
0.758
0.762
0.749
0
0.724
0.732
0.733
0.725
0.135
0.177
0.235
0.153
1
0.701
0.705
0.707
0.700
2
0.677
0.678
0.683
0.675
3
0.653
0.653
0.659
0.652
4
0.632
0.629
0.638
0.631
5
0.612
0.608
0.619
0.612
6
0.595
0.591
0.601
0.595
7
0.581
0.576
0.585
0.581
8
0.568
0.563
0.572
0.569
9
0.558
0.553
0.561
0.559
10
0.549
0.544
0.551
0.549
0.152
0.161
0.156
0.151
This table reports the MF-DCCA scaling exponent between the volume 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.
