我国体育产业上市公司股票收益率波动相关性的实证研究  

Empirical Research on the Correlations of Volatility of Stock Returns in Sports Industries' Listed Companies

作　　者：崔百胜[1] 

机构地区：[1]上海师范大学金融学院金融工程研究中心,上海200234

出　　处：《体育科学》2011年第5期42-48,54,共8页China Sport Science

基　　金：上海市哲学社会科学规划课题(2009BJB022);上海市教委科研创新重点项目(09ZS142)

摘　　要：以在内地及香港交易所上市的六家体育类公司股票收益率为对象,研究了内地上市的两家公司及香港上市的四家公司股票收益率波动的二元静态和时变相关性。结果显示,内地市场两家企业股票收益率波动的静态与时变相关性程度均低于在香港市场四家企业之间收益率波动的相关性,且内地市场两家公司股票收益率的时变相关性波动程度高,而香港市场四家公司股票收益率时变相关性则相对稳定。通过多元条件和无条件相关分析,发现内地和香港市场上市的体育行业股票间相关性很低,几乎不存在股价波动的相互传染机制。This paper studies the binary static and time-varying correlations of stock returns between the two companies listed on the mainland stock exchanges and among the four companies listed on the Hong Kong Stock Exchange.The results show that the static and time-varying correlations of earnings volatility between the two companies in the mainland markets are both lower than the binary relevance of the other four companies.And the time-varying correlation of the two companies in the mainland markets is more unstable than the other four companies.By multivariate conditional and unconditional correlation analysis,we find out that the correlation of stock returns＇ volatility among the mainland stock exchanges and the Hong Kong stock exchange in sports industry is very low.And there is almost not exists mutual volatility transmission mechanism.

关 键 词：中国 体育产业 股票收益率 波动 相关性 COPULA函数 

分 类 号：G80-05[文化科学—运动人体科学]