A Research of Spot and Future Goods Stock Price Fluctuation Characteristics and their Cross Correlation
GUO Ming1,3, ZHU Li2,1, HUANG Yi-zhou2
1.Finance School, Central University of Finance and Economics, Beijing 100081, China; 2. Finance School, Xinjiang University of Finance and Economics, Urumqi 830012, China; 3. Henan Office, China Banking Regulatory Commission, Zhengzhou 450008, China
Abstract：
The author uses the EEMD method on the spot price of the stock index fluctuation 5 minutes to decompose high frequency data, and analyzes of volatility characteristics and interactive relationship between each component, it is found that both long-term trends converge, there is a lead lag relationship. From the perspective of the fluctuation characteristics of each component, the spot to the reaction of the basic information synchronization frequency period, with the reduction of frequency of each component of the futures price lead time of spot price increases, but the long run both reactions to prices tend to be more consistent. From the perspective of the components in the cross correlation, the high frequency part and high frequency, low frequency part and the low frequency part, trend and trend presents a pro-cyclical changes, there is a very strong lead lag relationship, for a period of time (60 minutes), and sustained strong influence each other, but with the extension of the time lag correlation leading gradually reduced.
GUO Ming, ZHU Li, HUANG Yi-zhou.A Research of Spot and Future Goods Stock Price Fluctuation Characteristics and their Cross Correlation[J] Economic Survey, 2016,V33(3): 132-137
2016 
