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

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  • Cao, Guangxi
  • Han, Yan
  • Cui, Weijun
  • Guo, Yu

Abstract

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.

Suggested Citation

  • Cao, Guangxi & Han, Yan & Cui, Weijun & Guo, Yu, 2014. "Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 308-320.
    • Handle: RePEc:eee:phsmap:v:414:y:2014:i:c:p:308-320
    DOI: 10.1016/j.physa.2014.07.065
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