基于小波多分辨率的中美股市价格波动性比较研究  

Comparative research on the price volatility of Chinese and American stock markets based on wavelet multi-resolution analysis

作　　者：邹家骏 姚金海 ZOU Jia-jun;YAO Jin-hai(Economics Teaching and Research Department,Party School of Jiangxi Provincial Committee of CPC,Nanchang,Jiangxi 330108)

机构地区：[1]中共江西省委党校经济学教研部,江西南昌330108 [2]湖州学院经济管理学院,浙江湖州313000

出　　处：《价格月刊》2023年第2期9-15,共7页

基　　金：江西省社会科学规划重点项目“城镇化率突破60%后江西新型城镇化的动力研究”(编号:22ST02)。

摘　　要：基于中美两国股票市场中6种代表性价格指数数据构建小波多分辨率分析模型,在不同尺度上对股价指数波动成分的动态特征进行剖析,通过捕捉多尺度特性和市场丢失的信息,对两国股价指数的短期波动、长期趋势及其差异进行分析。研究发现:中美股市长期稳定性存在显著差异,中国股票市场三大指数的长期波动趋势比美国股票市场三大指数更加明显;中美股市短期波动性存在显著分化,中国股票市场三大指数的短期波动范围和幅度显著小于美国股票市场三大指数。表明中国的证券市场结构、证券监管水平、证券交易机制等方面有进一步完善和提升空间。This paper constructs a wavelet multi-resolution analysis model based on the six representative price index data of Chinese and American stock markets to analyze the dynamic characteristics of the volatility components of the stock index at different scales,then analyzes the short-term volatility,long-term trends and differences of the stock index in the two countries by capturing the multi-scale characteristics and market lost information.The research finds that:there are significant differences between the long-term stability of the Chinese and American stock markets,and the long-term volatility trend of the three major indexes of the Chinese stock market is more obvious than that in the American stock market;there is a significant differentiation between the short-term volatility of the Chinese and American stock markets;the short-term volatility range and amplitude of the three major indexes of the Chinese stock market are significantly smaller than those in the American stock market.It shows that there is room for further improvement in China’s securities market structure,securities regulatory level,securities trading mechanism,etc.

关 键 词：股票市场 小波分析 多分辨率分析 现代金融体系 

分 类 号：F714[经济管理—产业经济]