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Cross-correlations between individual investor sentiment and Chinese stock market return: New perspective based on MF-DCCA

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  • Ruan, Qingsong
  • Yang, Haiquan
  • Lv, Dayong
  • Zhang, Shuhua

Abstract

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 sentimentand 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.

Suggested Citation

  • Ruan, Qingsong & Yang, Haiquan & Lv, Dayong & Zhang, Shuhua, 2018. "Cross-correlations between individual investor sentiment and Chinese stock market return: New perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 243-256.
    • Handle: RePEc:eee:phsmap:v:503:y:2018:i:c:p:243-256
    DOI: 10.1016/j.physa.2018.02.076
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