网络搜索对股票市场的预测能力:理论分析与实证检验

网络搜索数据记录了数以亿计的搜索关注与需求,为研究市场交易行为提供了必要数据基础。本文以股票市场为例,首先从微观的投资者行为视角建立一个理论框架,揭示了网络搜索与股票市场之间存在一定的先行——滞后关系。然后,在时差相关分析的基础上,根据经济含义将搜索数据合成为三类搜索指数:股民行动指数、市场行情指数、宏观形势指数。实证检验得出,搜索指数与上证指数年收益率正相关且存在协整关系。在长期趋势中,三类搜索指数分别每增加1个百分点,年收益率将增加0.22、0.56、0.83个百分点。进一步的Granger因果关系检验表明,搜索指数对上证指数年收益率具有显著的预测能力。     

Revisiting Covered Interest Parity in the European Union: the DCCA Approach

This paper analyzes the evidence of financial integration, with covered interest parity (CIP), for a group of countries that have already adopted the euro and another group of countries that kept their currencies. We use detrended cross-correlation analysis, which allows analyzing the behavior of time series even when they are not stationary. The main results indicate that countries that adopted the euro do not show much evidence in favor of CIP, before joining the Eurozone, which could imply they will not benefit from all common currency advantages. In the group of countries that did not adopt the euro, Denmark, Sweden, the UK and the Czech Republic are the ones presenting better conditions for financial integration with the euro, while Bulgaria has also some evidence of this. Some possible explanations of CIP deviations are agents not considering all countries’ assets as similar and also the underdevelopment of markets and liquidity problems (more pronounced due to periods of turmoil).     

LS曲线拟合下的时差估计

针对时差估计（TDE）易受噪声影响产生模糊的问题,推导了单频信号、线性调频（LFM）信号以及二进制相移键控（BPSK）信号的互相关（CC）函数表达式,以最小二乘（LS）曲线拟合细化CC函数的幅度谱,获取精确的时差估计。首先对CC函数的幅度谱进行谱峰搜索,得到时差的粗估计,然后对CC函数的幅度谱以时差的粗估计为界,根据脉内调制类型,选择相应的一次或二次曲线,进行LS曲线拟合,降低噪声项对信号项的影响,可有效排除伪峰和局部最大,获得时差的精确估计。仿真结果显示,在信噪比大于6 dB时,BPSK信号的时差估计均方根误差接近零。     

路透中国年金指数Ⅱ收益率与中国债券总指数收益率的交叉相关性分析

企业年金是中国城镇职工养老保险体系的第二支柱,企业年金的委托人通常以路透中国年金指数II收益率作为其投资组合的业绩比较基准,因此企业年金投资管理人在从事对基金投资管理的同时也关注路透中国年金指数II收益率的走势。本文旨在对路透中国年金指数II的收益率建立合适的线性时间序列模型,并根据历史数据对模型的拟合效果作出判断。文章分别建立了自回归滑动平局模型和多元回归模型,通过对历史数据的拟合发现多元回归模型较好。该模型反映了路透中国年金指数II的收益率与中国债券总指数回报率的交叉相关系数为0.48683。全文使用的是线性时间序列,可看成离散的随机过程,本文研究内容仅限于离散的情况。     

Causal relationship between stock returns and real economic growth in the pre- and post-crisis period: evidence from China

This article empirically examines the causality in mean and variance between stock returns and real economic growth in China before and after the outbreak of US subprime crisis. Using a nonuniform weighting cross-correlation approach and the multivariate generalized autoregressive conditional heteroscedasticity model, we found no causality in mean or variance between China’s stock returns and real economic growth for the period before the subprime crisis. Interestingly, however, in the period after the crisis, we detected unidirectional causality in mean from real economic growth to stock returns and unidirectional causality in variance from stock returns to real economic growth. These new findings imply that the linkage between China’s stock market and its real economy has become stronger in the post-crisis period. The implication of our results is that Chinese policymakers should continue the deregulation and improve the efficiency of the stock market to sustain high economic growth rate in the future.     

人民币兑其他四种主要货币汇率的多标度交叉相关性研究

外汇市场中各汇率之间的相关性一直受到学术界的热切关注。通过多标度消除趋势波动分析和多标度消除趋势交叉相关性分析,对人民币兑其他四种主要货币汇率的多标度自相关性和交叉相关性进行了研究。发现人民币兑美元汇率的自相关性较强,人民币兑韩元汇率的自相关性较弱。以人民币作为基础货币,人民币兑美元和人民币兑欧元汇率的交叉相关性较强,人民币兑美元和人民币兑日元的交叉相关性较弱。