Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data

作者：Cao, Guangxi^*; Han, Yan; Cui, Weijun; Guo, Yu

来源：Physica A: Statistical Mechanics and Its Applications , 2014, 414: 308-320.

DOI：10.1016/j.physa.2014.07.065

• Multifractal detrended cross-correlation
• CSI 300
• High-frequency data
• Asymmetric

The cross-correlation between the China Securities Index 300 (CSI 300) index futures and the spot markets based on high-frequency data is discussed in this paper. We empirically analyze the cross-correlation by using the multifractal detrended cross-correlation analysis (MF-DCCA), and investigate further the characteristics of asymmetry, frequency difference, and transmission direction of the cross-correlation. The results indicate that the cross-correlation between the two markets is significant and multifractal. Meanwhile, weak asymmetries exist in the cross-correlation, and higher data frequency results in a lower multifractality degree of the cross-correlation. The causal relationship between the two markets is bidirectional, but the CSI 300 index futures market has greater impact on the spot market.

• 出版日期2014-11-15
• 单位南京信息工程大学