基于小波多分辨分析的中国股票市场因果关系分析

将Granger因果关系检验与小波多分辨分析相结合,把股票指数收益序列分解为不同的尺度分量,从尺度分量的角度分析我国沪深两个股票市场之间的因果关系,说明了某一市场收益的有些尺度分量与另一市场收益间的因果关系不同于两市收益的基本因果关系,又说明了两市收益的有些对应尺度分量之间的因果关系不同于两市收益的基本因果关系。结果表明,该分析可为我国两个股票市场之间的关联性及其成因和趋势提供理论支持。

Causality Analysis of China Stock Markets Based on Wavelet Multi-Resolution Analysis

The Granger causality test is combined with the wavelet multi-resolution analysis to decompose the return series of stock markets index into different scale components.From the aspect of scale components,the causality between Shanghai stock market return and Shenzhen’s is analyzed.The fact is explained that the causality of some scale components of one stock market return with the other stock market return is different from the basic causality of the two stock markets returns.Also the difference between the causalities of corresponding scale components of two markets with the basic causality of the two stock markets returns is illustrated.The conclusion can be theoretic support for analyzing the relation between the two markets together with its reasons and trend.