东北大学学报（自然科学版）

东北大学学报(自然科学版) ›› 2010, Vol. 31 ›› Issue (5): 750-752+756.DOI: -

• 论著 • 上一篇    下一篇

基于小波分析的中国A;B股市场相关性研究

金秀;王佳星;刘烨;   

  1. 东北大学工商管理学院;
  • 收稿日期:2013-06-20 修回日期:2013-06-20 出版日期:2010-05-15 发布日期:2013-06-20
  • 通讯作者: -
  • 作者简介:-
  • 基金资助:
    国家自然科学基金资助项目(70771023);;

Study on correlation between A share market and B share market in China based on wavelet analysis

Jin, Xiu (1); Wang, Jia-Xing (1); Liu, Ye (1)   

  1. (1) School of Business Administration, Northeastern University, Shenyang 110004, China
  • Received:2013-06-20 Revised:2013-06-20 Online:2010-05-15 Published:2013-06-20
  • Contact: Jin, X.
  • About author:-
  • Supported by:
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摘要： 考虑市场波动的时变性,采用小波分析的方法研究中国沪、深两市A,B股市场的相关性,利用小波函数的多尺度变化与不同持有期相对应,将中国沪、深两市A,B股市场之间的相关系数进行了多尺度分解.结果表明:B股股价的波动性明显大于A股股价,随着时间尺度的增加,小波方差和股价波动性逐渐减小;构成中国A股市场的沪市与深市、B股市场的沪市与深市的相关一致性要比A,B股市场间的相关一致性高;利用小波分析方法可以对不同市场的相关时变性进行研究,并可从相关的角度研究两个市场的分割性.

关键词: 多期相关系数, A, B股市场, 小波分析, 市场分割性

Abstract: With the time-varying characteristic of market fluctuations taken into account, the correlation between the A share market and B share market in both Shanghai and Shenzhen Stock Exchanges was discussed by wavelet analysis, i.e., the multi-scale change in wavelet function was introduced to correspond with the holding period of the shares purchased, then the correlation coefficient between the A and B shares is decomposed on multi-scale. The empirical result showed that price fluctuations of B shares is obviously higher than that of A shares, and the wavelet variance and share price fluctuations gradually decrease with the increasing time scale. Besides, the correlative uniformity between the Shanghai and Shenzhen Stock Exchanges, both are for buying/selling A and B shares, is higher than that between A share market and B share market. The wavelet analysis was thus proved able to investigate effectively the correlative time-varying characteristics of two share markets in China and their segmentability from the perspective of correlation.

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