Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data
Weijun Cui and
Physica A: Statistical Mechanics and its Applications, 2014, vol. 414, issue C, 308-320
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.
Keywords: Multifractal detrended cross-correlation; CSI 300; High-frequency data; Asymmetric (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:414:y:2014:i:c:p:308-320
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