摘要
应用小波分析方法研究沪深股市的价格和波动性的特征以及两市之间的溢出效应.对沪深股指收益率序列用小波分析作信号分解,分解为高频信号(细节信号)和低频信号(离散逼近信号).通过比较沪深股市的高频信号之间的关系获知沪深股市之间存在着显著的价格和波动性的溢出效应.深市和沪市之间存在着一定程度的负的价格溢出效应;而深市对沪市存在着正的波动性溢出效应,沪市对深市存在着负的波动性溢出效应,并且波动性溢出效应大于价格溢出效应.
The paper studies the spillover effects between Shanghai and Shenzhen stock markets based on the discrete wavelet decomposition that is used to transform stock returns and squared stock returns series into high-frequency and low-frequency signals. The price and volatility spillovers are found by examining the relationships between the sums of the two finest scales of Shanghai and Shenzhen stock markets. As for price spillover the Shenzhen stock market, to some extent, has negative spillover effect to Shanghai stock market, but not so great as Shanghai to Shenzhen. Besides that the volatility spillover effects vary more widely than price spillovers between the two stock markets.
出处
《系统工程学报》
CSCD
2004年第1期99-103,共5页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(79970073
7014201).
关键词
证券市场
股票价格
股票市场
小波分析方法
溢出效应
wavelets analysis
multi-resolution analysis
returns series
volatility
spillovers
