Association Journal of CSIAM
Supervised by Ministry of Education of PRC
Sponsored by Xi'an Jiaotong University
ISSN 1005-3085  CN 61-1269/O1

Chinese Journal of Engineering Mathematics ›› 2016, Vol. 33 ›› Issue (4): 331-338.doi: 10.3969/j.issn.1005-3085.2016.04.001

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A Study on Impact of Introducing of CSI300F to CSI300 Stock from Statistical and Fractal Characteristics

ZHENG Feng,   ZHAO Wen-yao   

  1. School of Economics and Management, North China University of Technology, Beijing 100144
  • Received:2015-04-03 Accepted:2015-11-10 Online:2016-08-15 Published:2016-10-15
  • Supported by:
    The Ministry of Education Humanities and Social Sciences Fund (11YJC630299).

Abstract:

Due to the dramatic fluctuation of China's stock market, CSI300F has been strictly limited. The study of CSI300 futures and spot market has become one of the main issues which are most concerned in the financial markets. In this paper, we study the impact of the introduction of CSI300F to CSI300 from the perspectives of statistical and multi-fractal characteristics. The statistical analysis shows that, the distribution of the CSI300 return series becomes less asymmetric, and the heavy tail phenomenon is more obvious after the introduction of CSI300F, which shows the introduction of CSI300F decreases the return volatility of CSI300. Through the analysis of MF-DFA (multi-fractal detrending fluctuation analysis), we find that the characteristics of the general hurst index and the multi-fractal spectrum both show the complexity of the market has decreased, which reveals that the CSI300 market becomes more efficient. The analysis of MF-DXA (multi-fractal detrended cross-correlation analysis) method shows that the fractal degree of the correlation between the two markets has increased, clarifying that the volatility of CSI300 market has increased. Therefore, the introduction of the CSI300F makes the spot market become more efficient, and the restrictions on trading CSI300F make both CSI300F and CSI300 market less efficient.

Key words: multi-fractal, CSI300, lognormal distribution, power-law distribution

CLC Number: