证券相关关系度量方法的实证研究

The Empirical Research on Measurement Methods of Securities Correlation

为了更精准地度量证券相关关系,本文借鉴了证券技术分析中的趋势分析,提出了一种基于证券趋势的证券相关关系度量方法。该方法可以避免短期波动对证券相关关系度量的影响,且具有较强的可操作性。本文简要介绍了目前常见的基于证券价格的相关关系和基于证券波动的相关关系度量方法的特点及缺陷,提出了基于证券趋势相关关系的度量方法,并通过实证分析验证了其优越性。

In order to accurately measure correlation between securities,the paper draws on a measurement method of correlation between securities based on technical analysis of stock trend.This way can avoid short-term fluctuations on the measure of correlation between securities,and is strong operational.This paper describes the characteristics and defection of the correlation measurement method on the basis of price and volatility,and presents the correlation measurement method based on stock trend metrics,and through empirical analysis to verify its superiority.