沪深港股市相关性的小波分析  

The Wavelet Analysis on Correlation Among Stock Markets of Shanghai,Shenzhen,Hong Kong

作　　者：薛超[1] 李星野[1] 雷蕾[2] 

机构地区：[1]上海理工大学管理学院,上海200093 [2]河南财经学院工商管理学院,郑州450002

出　　处：《数学的实践与认识》2008年第16期25-32,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(70471065);上海市自然科学基金(06ZR14144)

摘　　要：主要使用离散小波变换(DW T)对沪深港股市的相关性进行研究.小波可以把方差和相关系数在不同尺度上进行分解,以便更仔细地研究时间序列的波动性在不同尺度上的相关程度.研究发现:三地股票市场的波动性都随着小波尺度的变化而变化;沪深股市与香港股市相关性非常低,而且在不同尺度上相关程度有较大差别.The Discrete Wavelet Transform is applied to studying the relationship between stock markets of Shanghai, Shenzhen, Hong Kong. The wavelet can decompose the variance and correlat＇ion in different scales such that it is possible to study more carefully the fluctuating and the correlative degree of time series in different scales. The key empirical results show that the volatilities change along with changing the wavelet scales among three stock markets. Furthermore, the Shanghai and Shenzhen stock markets are both less correlated with Hong Kong stock market, moreover, there are biggish differences in different scales.

关 键 词：小波变换 尺度 谱 相关系数 股票 

分 类 号：F832.51[经济管理—金融学] F224