期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 503, 期 -, 页码 243-256出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2018.02.076
关键词
Individual investor sentiment; MF-DCCA; Cross-correlations; China
Using stock market returns of two stock exchanges in China, this paper employs MF-DCCA to investigate the non-linear cross-correlation between individual investor sentiment and Chinese stock market return. We find that there exists a power-law cross-correlation between individual investor sentiment and Chinese stock market return, and the cross-correlations are significantly multifractal. In addition, the cross-correlation between individual investor sentiment and Shenzhen Component Index (SZSE) return is more anti-persistent than that between individual investor sentiment and Shanghai Composite Index (SSEC) return, implying that individual investor sentiment has a stronger impact on small stocks. Besides, long-range correlations, fat-tailed distribution and extreme value all contribute to the multifractality for cross-correlation between individual investor sentiment and SSEC return, while long-range correlation is the main source of multifractality for the cross-correlation between individual investor sentiment and SZSE return. (C) 2018 Elsevier B.V. All rights reserved.
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