苏志伟;姚宗良;

• 1:中国海洋大学经济学院

摘要(Abstract)：

应用Morlet小波时频相关性分析对中国股价和汇率间的连动关系进行实证研究。该方法既能分析时域维度上的结构性转变,又能分析频域上的短期、中期和长期相关性。研究结果表明,中国股价只在短期(一年以内)与汇率存在正相关关系,且股价是导致该时期内汇率波动的重要因素。最后,本文认为,要想在人民币国际化进程中保持汇率稳定,就应该要求中国股市健康平稳发展。

关键词(KeyWords)： 股价;汇率;小波相关性;时域;频域

Abstract:

Keywords:

基金项目(Foundation):

作者(Author): 苏志伟;姚宗良;

Email:

DOI: 10.16497/j.cnki.1672-335x.2016.04.012

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• (1)连续小波变换中以Morlet小波作为母小波,则时间序列具有红噪声的特性,因而小波自功率谱通常接近于χ_2~2分布;若连续小波变换中以Mexican草帽等实值小波作为母小波函数,则时间序列呈现白噪声的特性(功率谱密度在整个频域内均匀分布),因而其小波功率谱服从χ_2~2分布。
• (2)之所以选取上证指数,是因为在上海证券交易所上市的公司,通常是行业的主力,甚至是行业龙头,其股票价格的变化可以反映出中国股市的大致变化,也能影响到股票市场。

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