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

doi:10.12068/j.issn.1005-3026.2017.01.030

Journal of Northeastern University Natural Science ›› 2017, Vol. 38 ›› Issue (1): 148-152.DOI: 10.12068/j.issn.1005-3026.2017.01.030

• Management Science • Previous Articles

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
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Abstract

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

CLC Number:

F830.9

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

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