Price-volume cross-correlation analysis of CSI300 index futures

► The price-volume cross-correlation for CSI300 index futures is studied by MFXDFA. ► Return and trading volume are long-range cross-correlated for CSI300 index futures. ► Multifractality exists in the cross-correlation between return and trading volume. ► Significant price-volume cross-correlation is verified by a cross-correlation test. ► The contemporaneous price-volume cross-correlation is the strongest.