中国体育产业与文化产业股票市场周期波动的联动性研究——基于频带分解技术的新视角

Research on the Linkage of Sports Industry and Culture Industry Stock Market Fluctuations in China——The New Perspective Based on Band Decomposition Technique

运用经验模式分解方法(EMD)对我国体育产业与文化产业股票市场的股价指数进行频带分解,并重构得出不同周期长度的波动分量。在此基础上,采用协整关系检验、VAR模型和Granger因果检验等动态计量分析方法,对体育产业与文化产业股票市场股价指数不同周期波动分量(短周期波动、中周期波动、长期趋势)间的联动机制展开实证研究。结果表明:体育产业与文化产业股票市场间的联动作用机制随着波动分量周期长度的改变而产生一定程度的变化,在短时期内体育产业与文化产业股票市场间的联动性较弱,但从中长期来看,体育产业与文化产业股票市场之间均存在显著的联动关系。本文基于频带分解技术的新视角,提供了关于我国体育产业与文化产业股票市场不同周期波动分量间联动机制的新证据,这对我国证券监管部门或投资者都具有一定参考价值,同时也为国内外体育产业经济学方面的研究工作提供了更加广阔的思路。

Using the empirical mode decomposition （EMD） method to make a frequency -band decomposition of the stock price index of China＇ s sports industry and cultural industry stock market and reconstruct the fluctuation components of different length cycles. On this basis, using thedynamic measurement methods of cointeg-ation test, VAR model and Granger causality test to conduct empirical study on the linkage mechanism of the fluctua- tion components of the sports industry and cultural industry stock index in different cycles （ short cycle fluctua- tion, medium cycle fluctuation and long - term trend）. The results show that the linkage mechanism of sports industry and cultural industry stock market fluctuates to certain extent with the change of fluctuation component cycle length. The linkage of sports industry and cultural industry stock market is weak in a short period of time, but in the long term, the linkage is obvious. This paper provides from the perspective of frequency - band de- composition techniquenew evidence for the linkage mechanism of fluctuationcomponents between China＇ s sports industry and cultural industry stock market in different cycles. It provides certain reference value for China＇ s securities regulatory authorities and investors, and broadens views on sports industrial economics studies at home and abroad.