Dynamic relationship between Chinese RMB exchange rate index and market anxiety: A new perspective based on MF-DCCA

Li, Shuping; Lu, Xinsheng; Liu, Xinghua

doi:10.1016/j.physa.2019.123405

Cited by 17 publications

(11 citation statements)

References 26 publications

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“…And the VIX index could also be collected from the WIND database. Since the foreign flow is daily net inflows, we adopt daily changes in VIX, which is similar to the prior literature [26,33].…”

Section: Datamentioning

confidence: 99%

“…Dai et al [18] and Zhao and Dai [19] also discuss the multifractality of China EPU and US EPU). is paper will investigate the cross-correlations between the foreign flows in A-share markets and the uncertainties of market, economics, and policy in home market using the MF-DCCA approach proposed by Zhou [20] (the MF-DCCA approach has been widely used to study the nonlinear cross-correlation in financial markets, such as the cross-correlation between stock returns and news (Zhang et al [21], Zhang et al [22], and Zhang et al [23]), online sentiment and market returns [24], EPU and exchange rate [25], exchange rate and market anxiety [26], China EPU and US EPU [19], carbon market price and EPU [27], cryptocurrency uncertainty indices and EPU [28], investors' attention and index futures [29], returnvolume relationship of bitcoin market [30], online searches and bitcoin market [31], and online sentiment proxies [32]).…”

Section: Introductionmentioning

confidence: 99%

“…e uncertainty of market is measured by the market panic index, namely, the VIX index (the VIX index has been widely used in the previous literature [26,33]). And the uncertainty of economy and policy can be measured by the economic policy uncertainty (EPU) index developed by Baker et al [34].…”

Section: Introductionmentioning

confidence: 99%

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The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets

Bing

Hu²,

2021

Discrete Dynamics in Nature and Society

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This paper investigates the cross-correlations between the foreign flows in A-share market and the uncertainties of market, economy, and policy in home markets, namely, the VIX index and the US EPU index. By employing the cross-correlation statistics and MF-DCCA method, we find the existence of the cross-correlations between the foreign flows and the VIX index, the foreign flows, and the US EPU index from qualitative and quantitative perspectives, respectively. For the cross-correlation between the foreign flows and VIX, small fluctuations are persistent, while large fluctuations are antipersistent. In contrast, the cross-correlation between the foreign flows and US EPU is antipersistent and steady. These results are robust by dividing the foreign flows into two parts in Shenzhen and Shanghai stock exchanges, respectively, and by shortening the periods to after the implementation of Shenzhen-Hong Kong Stock Connect.

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Section: Datamentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets

Bing

Hu²,

2021

Discrete Dynamics in Nature and Society

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“…ere are a number of ρ DCCA applications in meteorology [19,20], physiology [21,22], economy [13,23], financial [14,16,[24][25][26], and other research areas.…”

Section: Dcca Cross-correlation Coefficientmentioning

confidence: 99%

Effectiveness of Price Limit on Stock Market Network: A Time‐Migrated DCCA Approach

Dai

2021

Complexity

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In this paper, we investigated the effectiveness of price limit on stock market with the correlation study and complex network technology. We proposed a time-migrated DCCA cross-correlation coefficient which is beneficial to detect the asynchronous correlations of nonstationary time series. The stock market network is constructed with the threshold method based on time-migrated DCCA. The effectiveness of the price limit during the stock market crash period is studied based on the time-migrated DCCA stock market network. The results indicate that the time-migrated DCCA ensures more relevant results than the equal-time DCCA method. An interesting finding is that the price limit has different effects on the stock market network at different stages of dynamic evolution. Market stabilization will be lowered and the systemic risk will be increased if the price limit is enhanced. Such studies are relevant for a better understanding of the stock market and have a significant contribution to the stock market in reality.

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“…Since the stock market is a far more complex system with fractality properties [15][16][17], traditional methodologies under the framework of efficiency market hypothesis may not fully explain the relationship between investors' market participation willingness and the stock market. Recently, various methodologies under the theoretical framework of the fractal market hypothesis are put forward to investigate the multifractal property, such as multifractal detrended fluctuation analysis (MF-DFA) [18], multifractal detrended cross-correlation analysis (MF-DCCA) [19][20][21], and others. In this paper, we employ Yu'e Bao Sentiment Index (YSI) as a proxy for investors' market participation willingness and use the mutual information to measure the overall dependence between the investors' market participation willingness and the stock market; we also employ the DCCA crosscorrelation coefficient and MF-DCCA method to investigate the cross-correlation between investors' market participation willingness and the stock market.…”

Section: Introductionmentioning

confidence: 99%

Quantifying the Cross-Correlations between Online Market Participation Willingness and Stock Market Dynamics

Chu

Zhang

2020

Complexity

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The investors’ market participation willingness plays a vital role in the decision-making process of asset allocation. With the newly emerged dataset of investors’ market participation willingness, this paper provides the first evidence on the dynamic relationship between market participation willingness and the market dynamics in the Chinese stock market. We select four typical Chinese stock market indices, i.e., SSE50 Index, CSI300 Index, Small and Medium Enterprise Market Index, and Growth Enterprise Market Index, to represent different aspects of the Chinese stock market. Moreover, we use mutual information to measure the overall dependence between market participation willingness and stock market and employ the DCCA cross-correlation coefficient and MF-DCCA to investigate the cross-correlation between market participation willingness and market dynamics. We find that there exist overall dependence and power-law cross-correlation between market participation willingness and the Chinese stock market, and the cross-correlations are significantly multifractal.

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Dynamic relationship between Chinese RMB exchange rate index and market anxiety: A new perspective based on MF-DCCA

Cited by 17 publications

References 26 publications

The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets

The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets

Effectiveness of Price Limit on Stock Market Network: A Time‐Migrated DCCA Approach

Quantifying the Cross-Correlations between Online Market Participation Willingness and Stock Market Dynamics

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