Cross-correlation Analysis Between Price And Volume, Spot And Futures In China’s Stock Index Futures Market Based On High-frequency Data

Using high-frequency data of CSI300index futures and spot indices, this paper inves-tigates the price-volume relationship of stock index futures market and cross-correlation be-tween these two markets based on Detrended Cross-Correlation Analysis (DCCA) and Mul-tifractal Detrended Cross-Correlation Analysis (MF-X-DFA). Firstly, the price-volume cross-correlation analysis of CSI300index futures shows that returns and trading volumes are long-range cross-correlated and possess multifractal nature. Then, the cross-correlation analysis of CSI300index futures and spot provides the evidence of long-range cross-correlation and mul-tifractality between the two markets. Furthermore, it is also found from the risk measurement that degrees of cross-correlation increase with the heightened market volatility, demonstrating the intensification of contagion effect between markets. These results depict the pricing mech-anism in CSI300index futures market and dynamic mechanism between CSI300index futures and spot markets, which may be of critical significance for risk supervision and policy making.