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- W2791368645 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." @default.
- W2791368645 created "2018-03-29" @default.
- W2791368645 creator A5008422711 @default.
- W2791368645 creator A5044249690 @default.
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- W2791368645 creator A5071492342 @default.
- W2791368645 date "2018-08-01" @default.
- W2791368645 modified "2023-10-02" @default.
- W2791368645 title "Cross-correlations between individual investor sentiment and Chinese stock market return: New perspective based on MF-DCCA" @default.
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- W2791368645 doi "https://doi.org/10.1016/j.physa.2018.02.076" @default.
- W2791368645 hasPublicationYear "2018" @default.
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