Panels (a) and (b) show the cross-correlations between the normalized index return R and the time-dependent average correlation C̄ for the daily data in CSI 300 and S & P 500 respectively. Panels (c) and (d) depict the cross-correlations for the two pieces of CSI 300 minutely data in an up trend and in a down trend respectively. Different colors in the four figures stand for different Δt.