| 我国证券市场与宏观经济波动关联性：基于小波变换和互谱分析的对比检验 |
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| 引用本文： | 董直庆,王林辉.我国证券市场与宏观经济波动关联性：基于小波变换和互谱分析的对比检验[J].金融研究,2008(8). |
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| 作者姓名： | 董直庆 王林辉 |
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| 作者单位： | 吉林大学数量经济研究中心;东北师范大学经济学院; |
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| 基金项目： | 国家社科基金青年项目(06CJL009); 中国博士后科学基金项目(20060390910); 吉林大学985项目(985CXJD022); 东北师范大学人文社科校内青年基金滚动项目的阶段性成果。 |
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| 摘 要： | 本文利用小波变换和互谱分析方法,从时域和频域两个角度研究我国证券市场与宏观经济波动关联性。在小波变换下证券市场与宏观经济长短周期波动存在非一致性,短周期波动具有共变性和双向Granger因果关系,中周期波动出现一定程度的异动性、时滞性和单向Granger因果关系,而长周期波动具有完全异动性和双向Granger因果关系。相干谱和相位谱分析表明,二者长短周期波动相关性较高,中周期波动宏观经济先行,长周期波动二者具有反向共变性,这与小波变换的结论相一致。
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| 关 键 词： | 证券市场 宏观经济 小波变换 互谱分析 |
The Volatility Relationship of Stock Market and Macroeconomic in China on Wavelet and Cross Spectrum |
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| Dong Zhiqing Wang Linhui.The Volatility Relationship of Stock Market and Macroeconomic in China on Wavelet and Cross Spectrum[J].Journal of Financial Research,2008(8). |
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| Authors: | Dong Zhiqing Wang Linhui |
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| Abstract: | The paper uses the Wavelet and the Cross-spectrum to analyzes the relationship between China's stock market and macroeconomic fluctuation with the time and frequency field.It points out that there is incon- sistent volatility in the short and long run based on the wavelet test,namely,the short volatility of the stock market and economic growth with the same cycle and the dual causality,the others with some inconsistent vola- tility.Based on the Cross-spectrum test,the shorter the time is,the higher the rela... |
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| Keywords: | stock market macroeconomic Wavelet Cross-Spectrum |
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