基于MF-DCCA方法的证券市场间交叉相关性研究
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引用本文:曾志坚,张倩倩.基于MF-DCCA方法的证券市场间交叉相关性研究[J].财经理论与实践,2013,(6):45-49
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作者单位
曾志坚,张倩倩 (湖南大学 工商管理学院湖南 长沙410082) 
中文摘要:运用多重分形去趋势波动交叉相关分析法(MF-DCCA),考量上海证券市场和香港证券市场之间的交叉相关关系。实证表明:上海证券市场和香港证券市场之间存在交叉相关性,且呈现出多重分形特征;当证券市场出现较大的波动时,上海证券市场和香港证券市场的交叉标度指数要大于其平均标度指数,即两个证券市场之间的交叉相关性要大于其自相关性。
中文关键词:证券市场  交叉相关性  MF-DCCA
 
A Study on Cross Correlation between Securities Markets Based on MF DCCA
Abstract:The cross correlation between Shanghai securities market and Hong Kong securities market is examined using the multi-fractal detrended cross correlation analysis method (MF-DCCA). The empirical results show that there exist cross correlation between Shanghai securities market and Hong Kong securities market and posses multi-fractal features. When the securities markets arise comparatively large fluctuations, the cross correlation exponent between Shanghai securities market and Hong Kong securities market is larger than the average scaling exponents, which suggests that cross correlation between the two securities markets are stronger than the individual market's auto correlations.
keywords:Securities market  Cross correlation  MF-DCCA
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