| 我国股票市场行业间波动溢出效应研究——基于改进的EMD去噪方法 |
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| 引用本文： | 李合龙,杨能,林楚汉,张卫国.我国股票市场行业间波动溢出效应研究——基于改进的EMD去噪方法[J].系统工程理论与实践,2019,39(9):2179-2188. |
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| 作者姓名： | 李合龙 杨能 林楚汉 张卫国 |
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| 作者单位： | 1. 华南理工大学 金融工程研究中心, 广州 510006;2. 华南理工大学 工商管理学院, 广州 510640 |
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| 基金项目： | 国家自然科学基金（71671068）；中央高校基本科研业务费（2018PY15）；国家自然科学基金国际（地区）合作与交流项目（71720107002）；广东省自然科学基金（2018A030313983） |
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| 摘 要： | 针对我国股市噪声交易能量较大、行业指数同步性较高的特点,提出改进的EMD(empirical mode decomposition,经验模态分解)去噪方法对行业数据进行处理,进而采用BEKK-GARCH模型分析金融危机前、金融危机期间、金融危机后三个阶段行业间波动溢出效应.研究表明,在降低股价同步性方面,改进的EMD去噪方法效果更佳;行业间波动溢出效应在金融危机期间显著上升,金融危机后回落;较之金融危机前,金融危机后传统制造业受产业链上游的波动溢出效应有所降低、受科研的波动溢出效应有增强的趋势.
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| 关 键 词： | 金融危机 行业间波动溢出效应 改进的EMD去噪方法 BEKK-GARCH |
| 收稿时间： | 2018-01-23 |
A survey on the industrial spoillover effect of China's stock market-Based on revised EMD denoising method |
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| LI Helong,YANG Neng,LIN Chuhan,ZHANG Weiguo.A survey on the industrial spoillover effect of China's stock market-Based on revised EMD denoising method[J].Systems Engineering —Theory & Practice,2019,39(9):2179-2188. |
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| Authors: | LI Helong YANG Neng LIN Chuhan ZHANG Weiguo |
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| Institution: | 1. Research Center of Financial Engineering, South China University of Technology, Guangzhou 510006, China;2. School of Business Administration, South China University of Technology, Guangzhou 510640, China |
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| Abstract: | Under the background of increasing the price index of China's stock market, the revised EMD denoising method and BEKK-GARCH model are used to study the fluctuation spoillover effect before, during and after the financial crisis. For the high synchronization features of stock price and huge energy of trading noise, the improved EMD denoising method is used to denoise the industrial data, and then the BEKK-GARCH model is used to estimate the spoillover effect coefficients. The results show that the improved EMD denoising method has better denoising effect than the wavelet denoising method, the spoillover effect between the industries surges during the financial crisis and then falls, the factors of development of the traditional industries before and after the financial crisis have changed. |
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| Keywords: | financial crisis industrial spoillover effect revised EMD denoising method BEKK-GARCH |
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