5.2(A) In terms of correlation and cross-temporal dispersion of futures categories, many stocks have a fair market in the research reports of the past 65,438+00 years, and strengthening international correlation is different, resulting in the benefit of reducing dispersion. Earlier research found that the correlation between stock markets was in 1970s, such as Bertoneche, 1979 (0.20). (Solnik, Boucrelle and Le Fur, 1996, Shawky, Cutar and Mikhail, 1997) reported that the correlation increased to about 0.50. For our data table 3, the average correlation between different futures contracts is relatively low in the stock market and relatively stable from one year to the next. In fact, the average value of many related years is close to zero, which supports futures contracts to become diversified asset portfolios.
5.2(B) Correlation between different futures and the same weighted portfolio Table 4 provides the average correlation between each futures contract and all other futures contracts, as well as the same weighted portfolio, Goldman Sachs and CRB index related to them. The table also details the minimum contract of futures contracts and every relevant research being carried out. Previous studies have not fully investigated the futures contracts and related characteristics between different groups, as shown below. Table 4 shows that contract 22 4 1 futures, its lowest 17 degrees and currency futures, among which USD futures. Interest rate futures 10, at least 5 stock index futures and 3 commodity futures. In addition, the negative correlation of all interest rate futures is the same weighted combination. In addition, there are seven people in commodity futures contracts and their correlation with the lowest interest rate futures. Generally speaking, currency and interest rate futures, as well as commodity futures, can reduce investment risks because of their low correlation with other futures contracts.
5.2(C) Correlation between related groups and in Table 5 provides intra-group and inter-group correlation, and the average intra-group (intra-group) correlation and cross-group (given correlation) along the diagonal are close to the diagonal. Table 5 shows that the average correlation within each group is the stress intensity factor, and the interest rate, energy and commodity indexes are higher.