Quantifying the Cross-Correlations between Online Market Participation Willingness and Stock Market Dynamics
Table 6
Results of the MF-DCCA scaling exponent for Chinese stock market returns volatility.
SME-YSI
SSE50-YSI
CSI300-YSI
GME-YSI
−10
1.129
1.189
1.190
1.169
−9
1.120
1.181
1.181
1.161
−8
1.109
1.171
1.169
1.152
−7
1.097
1.159
1.154
1.141
−6
1.081
1.145
1.137
1.128
−5
1.064
1.127
1.117
1.113
−4
1.044
1.106
1.093
1.096
−3
1.026
1.082
1.068
1.079
−2
1.018
1.056
1.046
1.066
−1
1.028
1.037
1.037
1.060
0
1.047
1.027
1.039
1.056
0.082
0.162
0.161
0.113
1
1.037
0.996
1.015
1.032
2
1.001
0.942
0.967
0.988
3
0.959
0.889
0.920
0.943
4
0.923
0.846
0.882
0.903
5
0.893
0.812
0.852
0.872
6
0.869
0.785
0.828
0.847
7
0.851
0.763
0.809
0.827
8
0.836
0.746
0.794
0.812
9
0.824
0.733
0.782
0.799
10
0.814
0.722
0.771
0.789
0.223
0.274
0.244
0.243
This table reports the MF-DCCA scaling exponent between the volatility 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.
