Table 1. The equal-time correlation between an IMF of the full time series and that of the new time series.

The new time series are generated by removing the large volatilities, i.e., ∣r∣ > 8σ for the SHCI and SZCI indices, and ∣r∣ > 2σ for the S&P 500, DAX, HSI and TWII indices.

	1	2	3	4	5	6	7	8	9	10
S&P 500	0.71	0.62	0.51	0.43	0.39	0.35	0.31	0.09	0.15	0.54
German DAX	0.68	0.57	0.51	0.45	0.42	0.41	0.34	0.20	0.12	0.54
HSI	0.67	0.56	0.54	0.46	0.36	0.43	0.11	0.18	0.22	0.41
TWII	0.71	0.56	0.52	0.42	0.44	0.39	0.19	0.42	0.68	0.70
SHCI	0.80	0.61	0.51	0.67	0.73	0.57	0.44	0.43	0.14	0.91
SZCI	0.93	0.82	0.78	0.70	0.69	0.51	0.65	0.50	0.74	0.67