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- W3149773931 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." @default.
- W3149773931 created "2021-04-13" @default.
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- W3149773931 date "2021-07-01" @default.
- W3149773931 modified "2023-10-17" @default.
- W3149773931 title "Co-movements between Shanghai Composite Index and some fund sectors in China" @default.
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- W3149773931 doi "https://doi.org/10.1016/j.physa.2021.125981" @default.
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