Cross-Correlation Analysis For Shanghai Stock Exchange

In this paper we employ the detrended cross correlation analysis (DCCA) to investigate the Multifractal detrended cross-correlation (MF-DXA) between the trading volume and security price and return. The data analyzed is that of Shanghai Stock market index from December 1990 to March 2011. We discussed the power law behavior, the correlation and volatility and Hurst exponent which are commonly used in the analysis of long range dependent behavior. We showed the relationships between the Multifractal Detrended Fluctuation analyses, Detrended cross correlation function and multi fractal detrended cross correlation analysis methods. We found that there is long range dependence of the cross correlation between price return and the security volume.