市场间相依性检验、非对称性及传导方向研究  

Research on the examination of dependency of market,the asymmetry and the direction of contagion

作　　者：苑莹[1] 王梦迪[2] 樊晓倩 张同辉[1] 

机构地区：[1]东北大学工商管理学院,沈阳110169 [2]华夏银行沈阳分行,沈阳110014

出　　处：《系统工程理论与实践》2016年第11期2778-2790,共13页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71271047);教育部新世纪优秀人才支持计划(NCET-13-0115);中央高校基本科研业务费项目(N140604004);辽宁省自然科学基金(2015020077)~~

摘　　要：考虑市场间非线性、非正态性假设下的交叉相关性特征,引入更符合市场实际的去趋势交叉相关性分析、多重分形去趋势交叉相关性分析及基于时间延迟的去趋势交叉相关性分析等方法对沪深300股指期现市场间的相依测度进行定量研究.结果表明期现市场间具有明显的交叉相关性特征,且该交叉相关性具有多重分形特征;期现市场具有不同趋势时,市场间的交叉相关性存在非对称性特征,且两市场具有下降趋势时,交叉序列的长程相关性更显著;期现市场间交叉相关性的传导方向是双向的,且两市场对短时间内的信息较为敏感、反应较为迅速.当时滞小于5天时,期货市场对现货市场的影响作用更大.上述研究结果为深入研究多市场间非线性依赖关系和复杂特性机理提供了有益的参考.Considering the financial markets＇ characteristics of the cross-correlation in the case of nonlinearity and non-normality, this paper mainly quantitative studies the dependency of the CSI 300 futures market and spot market by applying detrend cross-correlation analysis, multifractal asymmetric detrend cross-correlation analysis method and detrend cross-correlation analysis based on the time-delay, which are more in line with the financial market. The results show that there are obvious cross-correlation characteristics between futures and spot markets in China, and the cross-correlation is multifractal; When futures market and spot market have different trends, the two markets shows that the cross-correlation is asymmetric, and the long-range cross-correlation is more significant while the futures market and spot market with downtrends. The direction of transmission of the cross-correlation between the markets is bidirectional, as well as the two market are more sensitive to the information in a short time and response more quickly. When futures market or spot market less lag 5 days respectively, futures market has a greater impact on the spot market. The results will provide a better reference for the nonlinear dependency between markets and the complex mechanism.

关 键 词：非对称相依性 去趋势交叉相关性分析 基于时间延迟的去趋势交叉相关性分析 

分 类 号：F832.5[经济管理—金融学]