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

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 Delta lambda 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. (C) 2021 Elsevier B.V. All rights reserved.