摘要
运用多重分形去趋势波动交叉相关分析法(MF-DCCA),考量上海证券市场和香港证券市场之间的交叉相关关系。实证表明:上海证券市场和香港证券市场之间存在交叉相关性,且呈现出多重分形特征;当证券市场出现较大的波动时,上海证券市场和香港证券市场的交叉标度指数要大于其平均标度指数,即两个证券市场之间的交叉相关性要大于其自相关性。
The cross correlation between Shanghai securities market and Hong Kong securities market is examined using the multi-fractal detrended cross correlation analysis method （MF--DC- CA）. The empirical results show that there exist cross correlation between Shanghai securities market and Hong Kong securities market and posses multi-fractal features. When the securities markets arise comparatively large fluctuations, the cross correlation exponent between Shanghai securities market and Hong Kong securities market is larger than the average scaling exponents, which suggests that cross correlation between the two securities markets are stronger than the in- dividual market＇s auto correlations.
出处
《财经理论与实践》
CSSCI
北大核心
2013年第6期45-49,共5页
The Theory and Practice of Finance and Economics
基金
湖南省科技计划项目(2012GK3162)
湖南省社会科学基金项目(09YBA037)
教育部"长江学者和创新团队发展计划"(IRT0916)
湖南省自然科学基金创新群体资助项目(09JJ7002)
