基于样本熵的中国金融市场有效性与同步性研究

Research on the Efficiency and Synchronization of Chinese Financial Markets Based on Sample Entropy

将中国金融市场分为国有大型银行、全国性股份制银行、城商行、证券、保险和信托等6个部分,并以2015年中国股票市场异动为研究背景,分析在不同时期内,不同种类的金融市场的有效性和市场间同步性的变化情况.样本熵和交叉样本熵分别用来计算金融市场的有效性和市场间的同步性,研究发现金融市场有效性以及市场间的同步性随着股票市场的走势发生改变,这种改变主要体现在股市剧烈波动时期;其中,国有大型银行、全国性股份制银行、保险在股市剧烈波动时期有效性的变化幅度最大,且对于股市行情可以做出快速的反应;在同步性分析中,国有大型银行在3个时期内都处于中心的位置,且在股市剧烈波动时期,国有大型银行与全国性股份制银行、城商行、证券、保险之间同步性的顺序,与国有大型银行和这4个市场有效性大小的顺序一致,认为市场间的同步性关系促使了有效性的传播.

In this paper,Chinese financial market is divided into six parts:State-owned banks,joint-stock banks,city commercial banks,securities,insurance and trust.Taking Chinese stock market turbulence in 2015 as the research background,the efficiency and synchronization of the above six financial markets in different periods are analyzed.Method of sample entropy is used to calculate the efficiency,and the sliding window method is used to examine the dynamic evolution process of efficiency,and then cross-sample entropy is used to calculate the synchronization between the six financial markets in different periods and the maximum spanning tree method is used to construct the main framework for the six financial markets’synchronization.The study finds that the efficiency of the six financial markets and the synchronization between these markets change with the trend of the stock market,and this change mainly exists in the two violent fluctuating period of the stock market,the bull period and the crisis period.in the violent fluctuating period,the change of efficiency is contrary to the trend of stock market,and the synchronization between the markets is strengthened in these two periods.During the fluctuation,the efficiency of stateowned banks,joint-stock banks,and insurance change substantially,and they can make a rapid response to the stock market trend.In the synchronization analysis,state-owned banks are in the center position in three periods,and during the violent fluctuating period,the order of synchronization between state-owned banks and jointstock banks,city commercial banks,securities,insurance is the same with the order of efficiency of the state-owned banks and these other four markets.It can be considered that the synchronization relationship between the markets promotes the efficiency spread to the other financial markets.