| 应用小波分析方法研究沪深股市的溢出效应 |
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| 引用本文： | 宿成建,刘星,刘礼培,魏锋.应用小波分析方法研究沪深股市的溢出效应[J].系统工程学报,2004,19(1):99-103. |
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| 作者姓名： | 宿成建 刘星 刘礼培 魏锋 |
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| 作者单位： | 1. 重庆大学经济与工商管理学院,重庆,400044
2. 重庆大学数理学院,重庆,400044 |
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| 基金项目： | 国家自然科学基金资助项目(79970073,7014201). |
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| 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．
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| 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 |
| 文章编号： | 1000-5781(2004)01-0099-05 |
Study on spillovers between Shanghai stock market and Shenzhen stock market with wavelets |
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| SU Cheng-jian,LIU Xing,LIU Li-pei,WEI Feng.Study on spillovers between Shanghai stock market and Shenzhen stock market with wavelets[J].Journal of Systems Engineering,2004,19(1):99-103. |
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| Authors: | SU Cheng-jian LIU Xing LIU Li-pei WEI Feng |
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| Institution: | SU Cheng-jian~1,LIU Xing~1,LIU Li-pei~2,WEI Feng~1 |
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| Abstract: | 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. |
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| Keywords: | wavelets analysis multi-resolution analysis returns series volatility spillovers |
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