Co-movements between Shanghai Composite Index and some fund sectors in China

Jian Wang, Wei Shao, Chenmin Ma, Wenbing Chen, Junseok Kim

Research output: Contribution to journalArticlepeer-review

Abstract

In this article, we analyzed the cross-correlations between Shanghai Composite Index (SSEC) and some fund sectors in China. Four high-volume fund sectors such as finance, medicine, new energy, and consumption sectors were investigated. Multifractal Cross-Correlation Analysis (MFCCA) approach was conducted for the empirical researches of the long-range correlations for time series pairs. The obtained multifractal characteristics showed that the finance sector achieved the highest persistence of cross-correlations, then the new energy, consumption, and medicine sector. Furthermore, the Δλ of finance sector is the greatest among other sectors, which indicated that the multifractality of cross-correlations between SSEC and finance sector was the strongest, and then the medicine sector has the weakest multifractality of cross-correlations. In addition, we utilized one-tailed Student's t-test to further evaluate the multifractality of cross-correlations, the results verified our conclusion.

Original languageEnglish
Article number125981
JournalPhysica A: Statistical Mechanics and its Applications
Volume573
DOIs
Publication statusPublished - 2021 Jul 1

Keywords

  • Fund
  • Hurst exponent
  • Multifractality
  • SSEC

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

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