基于概率度量的我国股市行业板块相关分析

Correlation Analysis of Industry Sector Indexes in Chinese Stock Markets Based on Probability Measurement

采用条件概率对相关性建模的方法,对有色金属、酿酒食品、银行类、外贸、钢铁和房地产6个板块进行尾部相关分析,结果表明:整体上左尾相关性强于右尾相关性,但外贸、银行类和钢铁板块显示出特殊性.外贸板块在股价大涨时对其他板块影响更强,银行类和钢铁板块在上涨行情中受其他板块影响更大.在行情下跌时,银行类板块最不易受影响;在行情上涨时,它最易受影响而上涨,这可能是银行股入选众多基金的一个原因.

Conditional probability is used to model the tail correlation. Six industry sectors including non -ferrous metals, wine, banking, foreign trade, steel and real estate are selected to do an empirical analysis by tail correlation. The result shows that left correlations are stronger than right ones as a whole with the exception of foreign trade, bank- ing and steel sectors. Foreign trade affects other sectors more strongly while banking and steel sectors are influenced by other sectors more violently in prodigious price rising. When the prices have greatly decreased, the banking sector is only slightly affected. While the prices soar up, the banking sector is more easily influenced than other sectors. Presumably, it is the reason why many bank stocks are chose by funds.