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.

Complexity

Quantifying the Cross-Correlations between Online Market Participation Willingness and Stock Market Dynamics

Table 6