文献类型：期刊文献

中文题名：我国沪深300股指期货和现货市场的交叉相关性及其风险

英文题名：Cross-correlation and risk measurement between CSI 300 index futures and spot markets in China

作者：汪冬华[1];索园园[1]

机构：[1]华东理工大学商学院,上海200237

年份：2014

卷号：34

期号：3

起止页码：631

中文期刊名：系统工程理论与实践

外文期刊名：Systems Engineering-Theory & Practice

收录：CSTPCD;;国家哲学社会科学学术期刊数据库;EI(收录号：20141817659886);Scopus;北大核心:【北大核心2011】；CSSCI:【CSSCI2014_2016】；CSCD:【CSCD2013_2014】；

基金：国家自然科学基金(71171083);教育部人文社会科学研究基金(09YJC630075);上海市教育委员会科研创新项目(14ZS058)

语种：中文

中文关键词：深300股指期货;MF—X—DFA;交叉相关性;风险度量

外文关键词：CSI 300 index futures; MF-X-DFA; cross-correlation; risk measurement

摘要：利用2010年4月16日到2012年4月12日期间的我国沪深300股指期货和现货1分钟高频数据,采用降趋交叉相关分析方法(DCCA)和多重分形降趋交叉分析方法(MF-X-DFA),研究我国股指期货市场和现货市场之间的以及在不同收益率情况下的长程交叉相关性和风险情况.结果表明,我国股指期货和现货市场之间具有长程交叉相关性,均呈现出长期记忆性和多重分形特性,且股指期货市场的整体风险大于现货市场;随着市场波动程度加大,市场之间的交叉相关性增强,风险的传染程度加剧.这对于金融市场的风险监管和政策的制定具有一定的借鉴意义.
Based on one minute high-frequency data of CSI 300 stock index futures and CSI 300 stock index, we carry out the long-range cross-correlation research and risk analysis of two markets from April 4, 2010 to April 12, 2012, with detrended cross-correlation analysis （DCCA） and multifractal detrended cross-correlation analysis （MF-X-DFA）. The results show that the long-range cross-correlation is observed between the two markets, both of which display long-term memory and multifractality. In addition, the stock futures market has a more powerful long-term memory and greater risk. It is also found that the greater the market volatility, the stronger the long-range cross-correlation between the two market, which intensify the contagion effect. Based on all of these conclusions, we can make further progress in risk management, which are of critical significance for risk supervision and policy making.