Cross-correlations between the CSI 300 spot and futures markets

Financial markets are complex dynamical systems. One of the important features of market dynamics is the existence of cross-correlations between financial variables. Based on the high-frequency transaction prices (every 5 min) data, in this study, we investigate the cross-correlations between China Securities Index 300 (CSI 300) spot and futures markets. Qualitatively, employing a statistical test in analogy to the Ljung-Box test, we find that the cross-correlations are significant at the 1 % level. Quantitatively, using the multifractal detrending moving-average cross-correlation analysis (MF-XDMA) method, we find that the cross-correlations are strongly multifractal. An interesting finding is that the cross-correlation exponent is larger than the averaged generalized scaling exponent for different q, which is different from the general conclusion. Using the method of rolling windows, we find that the cross-correlations are positive over time, which suggests that China's securities markets are not mature and efficient markets at present.