1. Co-movements between Shanghai Composite Index and some fund sectors in China.
- Author
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Wang, Jian, Shao, Wei, Ma, Chenmin, Chen, Wenbing, and Kim, Junseok
- Subjects
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INDEX mutual funds , *TIME series analysis , *MULTIFRACTALS , *EMPIRICAL research - 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 Δ λ 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. • We analyzed the cross-correlations between SSEC and some fund sectors in China. • Finance, medicine, new energy, and consumption sectors were investigated. • The finance sector achieved the highest persistence of cross-correlations. • SSEC and finance sector showed the strongest multifractality of cross-correlations. [ABSTRACT FROM AUTHOR]
- Published
- 2021
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