Abstract
ABSTRACTThis article applies multifractal detrended fluctuation analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DCCA) to investigate cross-correlation behaviours between two kinds of stock markets trading volumes and investor fear gauges covering the data of U.S. stock markets from 2 January 2004 to 31 July 2018. The empirical results show that the dynamic relationship between stock markets trading volume fluctuations and different kinds of investor fear gauges are multifractal and find that the dynamic relationship is strongly anti-persistent. Moreover, financial crisis in 2008 has a significant impact on the cross-correlated behaviour, suggesting that stock market trading volume fluctuations and investor fear gauges are more susceptible to each other during the financial crisis period. Through the rolling windows analysis, we also find that the stock markets trading volume fluctuations and different kinds of investor fear gauges are anti-persistent dynamic cross-correlated.
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