基于小波分析的中国A,B股市场相关性研究

Study on Correlation Between A Share Market and B Share Market in China Based on Wavelet Analysis

考虑市场波动的时变性,采用小波分析的方法研究中国沪、深两市A,B股市场的相关性,利用小波函数的多尺度变化与不同持有期相对应,将中国沪、深两市A,B股市场之间的相关系数进行了多尺度分解.结果表明:B股股价的波动性明显大于A股股价,随着时间尺度的增加,小波方差和股价波动性逐渐减小;构成中国A股市场的沪市与深市、B股市场的沪市与深市的相关一致性要比A,B股市场间的相关一致性高;利用小波分析方法可以对不同市场的相关时变性进行研究,并可从相关的角度研究两个市场的分割性.

With the time-varying characteristic of market fluctuations taken into account,the correlation between the A share market and B share market in both Shanghai and Shenzhen Stock Exchanges was discussed by wavelet analysis,i.e.,the multi-scale change in wavelet function was introduced to correspond with the holding period of the shares purchased,then the correlation coefficient between the A and B shares is decomposed on multi-scale.The empirical result showed that price fluctuations of B shares is obviously higher than that of A shares,and the wavelet variance and share price fluctuations gradually decrease with the increasing time scale.Besides,the correlative uniformity between the Shanghai and Shenzhen Stock Exchanges,both are for buying/selling A and B shares,is higher than that between A share market and B share market.The wavelet analysis was thus proved able to investigate effectively the correlative time-varying characteristics of two share markets in China and their segmentability from the perspective of correlation.