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Dynamic Cross-Correlations between Investors’ Attention and CSI300 Index Futures
Fluctuation and Noise Letters ( IF 1.8 ) Pub Date : 2019-05-10 , DOI: 10.1142/s0219477519500226 Xiong Xiong 1, 2 , Kewei Xu 1 , Dehua Shen 1, 2
Fluctuation and Noise Letters ( IF 1.8 ) Pub Date : 2019-05-10 , DOI: 10.1142/s0219477519500226 Xiong Xiong 1, 2 , Kewei Xu 1 , Dehua Shen 1, 2
Affiliation
Using search volume on Baidu Index as the proxy for investors’ attention, we investigate the dynamic nonlinear relationship between investors’ attention and CSI300 index futures market. Multifractal detrend cross-correlation analysis (MF-DCCA) is employed to explore the multifractal features of the cross-correlations between investors’ attention and the return and relative activity of index futures market. We find that the power-law cross-correlations between investors’ attention and CSI300 index futures market are stronger in the short term than in the long term, and the cross-correlations are significantly multifractal. Precisely, the cross-correlation between abnormal search volume (ASV) and the relative activity is persistent, and the cross-correlation between ASV and return of IF is persistent in the short term but weakly anti-persistent in the long term. Besides, we also find that, with the restriction on index futures market, the cross-correlations between investors’ attention and CSI300 index futures market become less stable.
中文翻译:
投资者关注度与沪深300指数期货的动态交叉相关性
以百度指数搜索量作为投资者关注度的指标,研究投资者关注度与沪深300指数期货市场之间的动态非线性关系。采用多重分形去趋势互相关分析(MF-DCCA)来探索投资者关注度与指数期货市场的收益和相对活跃度之间的互相关的多重分形特征。我们发现,投资者关注度与沪深300指数期货市场的幂律互相关在短期内强于长期,且互相关呈显着的多重分形。准确地说,异常搜索量 (ASV) 和相对活动之间的互相关是持久的,ASV 与 IF 回报之间的互相关在短期内是持续的,但在长期内是弱反持续的。此外,我们还发现,随着股指期货市场的限制,投资者的注意力与沪深300指数期货市场的相关性变得不太稳定。
更新日期:2019-05-10
中文翻译:
投资者关注度与沪深300指数期货的动态交叉相关性
以百度指数搜索量作为投资者关注度的指标,研究投资者关注度与沪深300指数期货市场之间的动态非线性关系。采用多重分形去趋势互相关分析(MF-DCCA)来探索投资者关注度与指数期货市场的收益和相对活跃度之间的互相关的多重分形特征。我们发现,投资者关注度与沪深300指数期货市场的幂律互相关在短期内强于长期,且互相关呈显着的多重分形。准确地说,异常搜索量 (ASV) 和相对活动之间的互相关是持久的,ASV 与 IF 回报之间的互相关在短期内是持续的,但在长期内是弱反持续的。此外,我们还发现,随着股指期货市场的限制,投资者的注意力与沪深300指数期货市场的相关性变得不太稳定。