Cross-correlation Between Futures And Spot Markets In China During The Bull And Bear Period

In the second half of 2014.,China's financial markets experienced a bull market carnival,upon that "three stock market crash",occurred one after another as the big bear market came abruptly,which led to an adverse influence on the whole society and economy.Compared with the bull and bear cycles occured from 2007 to 2008,a wider range,greater strength and more far-reaching impact are the distinguish features of this round of bull and bear periods.In the meantime,the relationship between the futures market and the stock market has become the focus of the current bull and bear periods.In the "crash" period,the stock index futures market even became a target for all,being considered to be arch-criminal of the "crash".Based on the perspective of fractal,this paper takes CSI 300 index and futures as the research object,having a more comprehensive study on the cross-correlation between future and spot markets in the bull and bear periods during 2014 and 2016 from the three levels of mono-fractal,multifractal characteristics and asymmetrical multifractal.In addition,existing research methods are optimized by overlapping smooth window techniques.On the one hand,the study provides a new insight for the financial market regulators,as well as quantitative basis and systematic experiences for the implement of the spirit of the 2017 national financial work conference and prevention of systemic risk.On the other hand,this study is of practical significance to derivative pricing,the design of hedging strategies,the optimal allocation of assets and risk management.The findings can be concluded as follows:First,based on the DCCA coefficient method and DCCA methods based on time-delay,the findings from the mono-fractal dimension are as follows:(1)The futures and spot markets in the bull market and bear market show a high level of cross-correlation.(2)Whether in the short or long term,the transmission direction of spot market is bidirectional.where the long-term cross-correlation of between futures and spot markets in the bear market is different from other periods,in which the stock market gradually takes the leading position with the increase of lag orders.Second.Based on the MF-DCCA method,the findings from the conventional multifractal dimension are as follows:(1)There are multifractal characteristics in the cross-correlation between futures and spot markets whether in the bull or bear market,which can both be attributed to the probability distribution with fat tail combined with persistence of the fluctuation.(2)The long memory of the market is different from that in the bull bear market,which is not significant.(3)contagion between markets is intensified in the bear market,in the meanwhile,the risk contagion between the two markets is mainly manifested in the aspect of large fluctuations.(4)The market efficiency of bull market is higher than that of bear market,but the gap is not significant.Finally,based on the AMF-DCCA method,the findings from the asymmetrical multifractal dimension are as follows:(1)The cross-correlation in both the bull and bear markets have asymmetric multifractal features,which can be attributed to the distribution of the probability distribution with fat tail and the persistence of the fluctuation as well.(2)The rising trend are different from the downward trend in terms their long memory whether in the futures or spot market.(3)whether futures or spot changes,the asymmetric risk of bear market is stronger than that of bull market.(4)In the bull market,The effectiveness between futures and spot markets is stronger in the downward trend than that in the upward trend,which is opposite in the bear market.