基于小波协方差的中国股市波动序列相关性的实证分析  

Empirical Analysis Of China's Stock Market Serial Correlation Of Volatility Based On Wavelet Covariance

作　　者：吴礼斌[1] 崔岩岩[1] 

机构地区：[1]安徽财经大学统计与应用数学学院,安徽蚌埠233041

出　　处：《皖西学院学报》2009年第5期5-8,共4页Journal of West Anhui University

基　　金：安徽省高校自然科学研究项目(2005kj310);安徽省高校人文社会科学研究项目(2008sk215)

摘　　要：在综述相关系数与概率中变化协调的相关性度量方法基础上,提出了基于小波协方差的相关性度量方法,并对沪、深股市波动序列之间的相关性进行了实证分析,结果表明沪深股市波动序列在整体上具有一定的正相关性,不同尺度下沪、深股市波动序列之间的相关性不同,小尺度下相关性小,因此以小尺度为基准,采用组合投资分散风险较好。In this paper, the correlation coefficient in the review and coordination of the probability of change in the correlation measurement method is proposed based on wavelet-based measure of the relevance of the covariance method. Furthermore,Shanghai and Shenzhen stock markets volatility series was empirical analyzed with this method. As a result, the whole correlation of Shanghai and Shenzhen stock markets volatility series has a somewhat positive correlation, under different scale have different correlation between Shanghai and Shenzhen stock markets volatility series, under small-scale have a little correlation. Therefore based on small-scale,portfolio investment is better used to spread the risk.

关 键 词：小波协方差 波动序列 相关性 

分 类 号：F832.5[经济管理—金融学]