文献类型：期刊文献

英文题名：Price-volume cross-correlation analysis of CSI300 index futures

作者：Wang, Dong-Hua[1,2];Suo, Yuan-Yuan[1];Yu, Xiao-Wen[1];Lei, Man[1]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China

年份：2013

卷号：392

期号：5

起止页码：1172

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20130315908768);WOS:【SSCI(收录号:WOS:000315617800013)，SCI-EXPANDED(收录号:WOS:000315617800013)】；

基金：We thank Wei-Xing Zhou for helpful discussions. This research is supported by the National Science Foundation of China (Grant No. 71171083) and the Humanities and Social Sciences Fund sponsored by the Ministry of Education of the People's Republic of China (Grant No. 09YJC630075).

语种：英文

外文关键词：Econophysics; CSI300 index futures; Cross-correlation; Scaling analysis; Multifractal analysis

摘要：We investigate the cross-correlation between price returns and trading volumes for the China Securities Index 300 (CSI300) index futures, which are the only stock index futures traded on the China Financial Futures Exchange (CFFEX). The basic statistics suggest that distributions of these two time series are not normal but exhibit fat tails. Based on the detrended cross-correlation analysis (DCCA), we obtain that returns and trading volumes are long-range cross-correlated. The existence of multifractality in the cross-correlation between returns and trading volumes has been proven with the multifractal detrended cross-correlation analysis (MFDCCA) algorithm. The multifractal analysis also confirms that returns and trading volumes have different degrees of multifractality. We further perform a cross-correlation statistic to verify whether the cross-correlation significantly exists between returns and trading volumes for CSI300 index futures. In addition, results of the test for lead-lag effect demonstrate that contemporaneous cross-correlation of return and trading volume series is stronger than cross-correlations of leaded or lagged series. (C) 2012 Elsevier B.V. All rights reserved.