北上资金、百度指数与股市关联性的时频域研究——基于协高阶矩视角  

Research on the Relationship between Northward Capital, Baidu Index and Stock Market in Time and Frequency Domain——Based on the Perspective of Higher Order Co-moments

作　　者：林娟娟 唐勇 周小亮 朱鹏飞 LIN Juan-juan;TANG Yong;ZHOU Xiao-liang;ZHU Peng-fei(School of Economics&Management,Fuzhou University,Fuzhou 350116,China;Fujian Provincial Key Laboratory of Finance and Technology Innovation,Fuzhou 350116,China)

机构地区：[1]福州大学经济与管理学院,福建福州350116 [2]福建省金融科技创新重点实验室,福建福州350116

出　　处：《中国管理科学》2022年第1期20-31,共12页Chinese Journal of Management Science

基　　金：国家社科基金资助项目(21BJY033)。

摘　　要：为准确考察经由陆股通的资金量与投资者关注度对股市的影响,并兼顾股市时频域特征,将EEMD与高阶矩波动模型相结合,分别构建三个频率尺度下股市收益率、北上资金与百度指数的三元GARCHSK模型,基于时变协高阶矩视角对模型所得结果进行对比分析。结果表明:北上资金及投资者关注度均与内地股市存在时变关联关系;协高阶矩逐步成为内地股市与北上资金风险传染与波动关联的重要途径,且关联性逐步提高,而投资者关注度与内地股市的关联途径较少,关联关系存在较大不确定性;内地股市的短期均值与方差变动更多地取决于北上资金量,长期非对称性、极端风险概率的变动则与投资者对相关信息的关注程度存在更为显著的关联。本文从不同频率尺度探讨北上资金、投资者关注度与内地股市的协高阶矩关联途径与时变互动关系,为后续互通机制的政策效应研究提供了更为全面的角度和思路。With the continuous promotion of the internationalization of China’s financial market, the tendency of northward capital volume published every day is closely watched by more and more investors. Is it the trend of northward capital or the change of investors’ attention that plays a greater role in affecting the mainland stock market? And what is the relationship between the above two and the stock market? This paper takes the northward capital, Baidu index and the CSI 300 index as the research object, which data is selected from 2016-12-5 to 2019-7-5. In order to examine the impact of northward capital volume and investors’ attention on the stock market accurately and consider the time-frequency characteristics of stock market, The EEMD method is used to decompose and integrate the above three variables, and then the multivariate GARCHSK model is used to model the high frequency, medium frequency and low frequency sequences respectively. Finally, the time-varying higher order co-moments obtained from the model are analyzed, so that the dynamic relationship between the northward capital volume, investors’ attention and the stock market can be discussed respectively. The empirical results show that there is a time-varying relationship between Northward capital, investors’ attention and the mainland stock market. The higher order co-moments has gradually become an important way to link the risk contagion and volatility between the mainland stock market and the northward capital, and the correlation has gradually increased. While the correlation approach between investors’ attention and mainland stock market is less, and their relationship is uncertain. The changes of short-term mean and variance of the mainland stock market are more dependent on northward capital, while the changes of long-term asymmetry and extreme risk probability are more significantly related to investors’ attention to relevant information. The correlation approach and time-varying impact of northward capital and investors’ atten

关 键 词：北上资金 量价关系 投资者关注度 协高阶矩 时频域 

分 类 号：F831.5[经济管理—金融学]