An Empirical Research On Dependency Of The CSI 300 Index Futures And The Spot Markets

The outbreak of the financial crisis had caused a stir in the global economy.The interdependent relationship between markets is one of the important reasons causing crisis spreading.To measure the dependent degree between the markets accurately plays an important role to stabilize the economy.Using daily closing price data of CSI 300 index futures and CSI 300 spot indices,this paper mainly studies the dependency of the CSI 300 futures market and the spot market by applying Multifractal Detrended Cross-Correlation Analysis(MF-DCCA)and Multifractal Asymmetric Detrended Cross-Correlation Analysis Method(MF-ADCCA).Firstly,the quanlitative and quantitative cross-correlation analysis of CSI 300 index futures and spot provides the evidence of long-range cross-correlation and multifraclity between the two markets.Then,the asymmetric analysis of the two markets shows that the long-range cross-correlation is asymmetric and multifractal.The cross-correlation is more significant when the futures market and spot market with downtrends.Last,it is found that the transmission direction of the cross-correlation between the markets is bidirectional based on the time-delay DCCA analysis.However,the cross-correlation becomes weak with time past.The results depict the dynamic mechanism between CSI 300 futures market and CSI 300 spot market.It can provide a better reference for the nonlinear dependency between markets and the complex mechanism,also be of critical significance for risk supervision and policy making.