沪深300股指期现货市场间相依度测度实证研究

doi:10.12068/j.issn.1005-3026.2017.01.030

东北大学学报:自然科学版 ›› 2017, Vol. 38 ›› Issue (1): 148-152.DOI: 10.12068/j.issn.1005-3026.2017.01.030

• 管理科学 • 上一篇

沪深300股指期现货市场间相依度测度实证研究

苑莹¹，王梦迪²，张同辉¹，樊晓倩¹

(1．东北大学工商管理学院，辽宁沈阳110169; 2．华夏银行沈阳分行，辽宁沈阳110000 )

收稿日期:2015-12-18 修回日期:2015-12-18 出版日期:2017-01-15 发布日期:2017-01-13
通讯作者: 苑莹
作者简介:苑莹(1980-)，女，辽宁沈阳人，东北大学教授，博士生导师.
基金资助:
国家自然科学基金资助项目(71271047，71371044，71571041)；教育部新世纪优秀人才支持计划项目(NCET-13-0115)；中央高校基本科研业务费专项资金资助项目(N140604004)；辽宁省高等学校优秀人才支持计划项目(LJQ2013030)；辽宁省自然科学基金资助项目(2015020077).

Empirical Research on the Dependency of the CSI 300 Index Futures Market and Spot Market

YUAN Ying¹， WANG Meng-di²， ZHANG Tong-hui¹， FAN Xiao-qian¹

1. School of Business Administration， Northeastern University， Shenyang 110169， China; 2.Shenyang Branch， Huaxia Bank， Shenyang 110000， China.

Received:2015-12-18 Revised:2015-12-18 Online:2017-01-15 Published:2017-01-13
Contact: YUAN Ying
About author:-
Supported by:
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摘要/Abstract

摘要： 考虑金融市场间非线性、非正态性假设下的交叉相关性特征，基于复杂性理论视角，引入更符合金融市场实际的交叉相关性统计量检验、去趋势交叉相关性分析(DCCA)及多重分形去趋势交叉相关性分析(MF-DCCA)等方法对沪深300股指期现货市场间的相依度测度进行定量研究.研究结果表明:我国沪深300股指期现货市场不但自身具有长记忆性及多重分形特征，且两市场间也存在着显著的交叉相关性和交叉多重分形特征.上述研究结果将为深入研究多市场间非线性依赖关系和复杂特性机理提供有益参考.

Abstract: Considering the financial markets’characteristics of the cross-correlation in the case of nonlinearity and non-normality， and from the perspective of complexity theory， the cross-correlation statistic test， detrended cross-correlation analysis (DCCA) and multifractal detrended cross-correlation analysis (MF-DCCA) are mainly applied to quantitatively study the dependency of the CSI 300 index futures market and spot market， which are more in line with the financial market. The results show that long-term memory and multifractal characteristics exist in the CSI 300 index futures and spot markets respectively. Meanwhile， there are obvious cross-correlation characteristics between futures and spot markets， and the cross-correlation is multifractal. The results can provide a better reference for the nonlinear dependency between the markets and the complex mechanisms.

Key words: dependency, detrended cross-correlation analysis, multifractal, long-term correlation, sliding timewindow

中图分类号:

F830.9

苑莹，王梦迪，张同辉，樊晓倩. 沪深300股指期现货市场间相依度测度实证研究[J]. 东北大学学报:自然科学版, 2017, 38(1): 148-152.

YUAN Ying， WANG Meng-di， ZHANG Tong-hui， FAN Xiao-qian. Empirical Research on the Dependency of the CSI 300 Index Futures Market and Spot Market[J]. Journal of Northeastern University Natural Science, 2017, 38(1): 148-152.

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沪深300股指期现货市场间相依度测度实证研究

Empirical Research on the Dependency of the CSI 300 Index Futures Market and Spot Market

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