基于小波方法的中国股市与亚太股市联动性实证研究

Empirical Study on Co-movement of the Chinese and Asia-Pacific Stock Markets Based on Wavelet Method

综合考虑资产分散化和时间分散化目标,利用小波方法从时间和时间尺度两个维度对中国股市与亚太的10个主要股市的联动性进行实证分析,结果表明:中国股市与亚太股市的联动在时间和时间尺度两个维度上都是变化的,2003-2006年是股市联动的一个临界时期,高联动集中在大时间尺度,中小尺度下的联动较弱,且联动模式不稳定。金融危机期间股市联动增强,但次贷危机和欧债危机期间联动增强的时间尺度范围显著不同。这些实证发现对资产管理者识别风险分散机会、构造资产组合策略具有重要意义。

Considering both the aim of asset diversification and time diversification,the co-movement of stock markets in both time and time scale domains is analyzed.Using wavelet method,an empirical analysis of co-movement between the Chinese stock market and ten stock markets from Asia-Pacific region are carried out.Our results show co-movement between Chinese and Asia-Pacific stock markets is time-varying and it becomes stronger after the period from 2003 to 2006.The evidence of a wide variation in co-movement across the time scale,strong co-movement at a longer time scale and weak at a shorter scale with an unstable pattern is obtained.The co-movement gets stronger during financial crisis,but the co-movement dynamics of the Chinese and international stock markets are different during the two financial crises.These findings have important implications for asset managers to identify opportunities for risk diversification and to construct a diversified portfolio using global stocks.