摘要
选取上证综指、纳斯达克指数、富时100、日经225、恒生指数分别代表中国、美国、英国、日本、中国香港股市,从频域角度研究了中国与发达国家(地区)股市间的周期相关性。结果表明:中国与美国、中国香港股市的周期相关性最强,与英国次之,与日本最弱;在长周期,中国股市滞后于中国香港、日本、英国股市,而在短周期,中国股市领先于中国香港、日本、英国股市;无论长周期还是短周期,中国股市均滞后于美国股市。
The Shanghai Composite Index,the Nasdaq Index,the FTSE100,the Nikkei225and the Hang Seng Index respectively stand for stock markets of China,the United States,the United Kingdom,Japan and Hong Kong.This paper examines the relation?ship between China’s stock market and four other stock markets of developed country(area)in frequency domain.The results show that coherence between China’s stock market and other developed markets is significant.In the long run,the stock markets of Hong Kong,Japan and the UK seem to lead China.In the short run,however,the stock markets of Hong Kong,Japan,the UK lag behind China.whether the short or long run,the China’s stock market is lagging behind the US market.
作者
张瑞
ZHANG Rui(School of Science, Taiyuan Institute of Technology, Taiyuan Shanxi, 030008)
出处
《山西大同大学学报（自然科学版）》
2017年第3期16-19,34,共5页
Journal of Shanxi Datong University(Natural Science Edition)
基金
太原工业学院青年科学基金[2017LQ07]
关键词
叉谱
凝聚谱
交相位谱
小波分析
股票市场
周期相关性
cross-spectra
magnitude-squared coherence
phase spectrum
wavelet analysis
stock markck
co-movement
