中美股市联动性——基于极大重叠离散小波变换的研究

发布时间：2018-01-12 16:05

本文关键词：中美股市联动性——基于极大重叠离散小波变换的研究　出处：《世界经济文汇》2014年02期 　论文类型：期刊论文

【摘要】：经济全球化和国际金融市场一体化的发展背景下研究中美股票市场之间联动关系具有重要的理论和现实意义。针对具有时变和频变双重特性的金融市场时间序列,本文采用极大重叠离散小波变换(MODWT)方法对上证综指和道-琼斯工业平均指数之间的联动关系进行研究,包括单变量的多分辨分析以及双变量之间交叉相关系数和交叉协方差的计算,样本时间跨度为2000年1月1日到2012年12月31日。本文的研究结论是:无论短期、中期还是长期,中美股市间均存在不同程度的联动关系,其中短期3个交易日频率下中美股市联动关系最为显著,半个月、一个月以及一年频率下观察到的中美股市联动关系也比较明显。半个月和一个月频率下中美股市间交叉相关系数出现负值下界,表明两市间有反向运动可能性,这增加了市场间的短期投资便利性。一年频率水平下分析还得出中美股市间存在代表某种领先—落后效应的相位差。
[Abstract]:It is of great theoretical and practical significance to study the relationship between Chinese and American stock markets under the background of economic globalization and the integration of international financial markets. Aiming at the time series of financial markets with the dual characteristics of time-varying and frequency-varying, it is of great theoretical and practical significance to study the relationship between Chinese and American stock markets. . In this paper, the linkage between Shanghai Composite Index (SSE) and Dow Jones Industrial average Index (DJI) is studied by using the maximal overlapping discrete Wavelet transform (DWT) method. It includes the multiresolution analysis of single variable and the calculation of cross correlation coefficient and cross covariance between two variables. The time span of the sample is from January 1st 2000 to December 31st 2012. The conclusions of this paper are as follows: no matter in the short, medium or long term, there is a linkage relationship between Chinese and American stock markets to varying degrees. Among them the short-term three trading days under the frequency of the Sino-US stock market linkage is the most significant half a month. The relationship between Chinese and American stock markets observed at one month and one year frequency is also obvious. At the frequency of half month and one month, the cross correlation coefficient between Chinese and American stock markets has negative lower bound, indicating the possibility of reverse movement between the two markets. This increases the convenience of short-term investment among markets. At the frequency level of one year, it is also found that there is a phase difference between Chinese and American stock markets that represents some kind of leading-backward effect.
【作者单位】：复旦大学世界经济系;复旦大学金砖研究中心;
【基金】：上海软科学重点项目(13692104700
【分类号】：F831.51;F832.51
【正文快照】： 一、引言20世纪90年代初以来,中国股票市场经历了一个从无到有、从小到大、从幼稚到逐渐成熟的发展过程。最初十年,中国股市的主要任务是市场定位、功能发挥以及不断适应经济体制转变的需要。进入新千年后,作为资本市场最重要的组成部分,股市迎来一轮快速发展期,无论是在上市

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