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综合考虑资产分散化和时间分散化目标,利用小波方法从时间和时间尺度两个维度对中国股市与亚太的10个主要股市的联动性进行实证分析,结果表明:中国股市与亚太股市的联动在时间和时间尺度两个维度上都是变化的,2003-2006年是股市联动的一个临界时期,高联动集中在大时间尺度,中小尺度下的联动较弱,且联动模式不稳定。金融危机期间股市联动增强,但次贷危机和欧债危机期间联动增强的时间尺度范围显著不同。这些实证发现对资产管理者识别风险分散机会、构造资产组合策略具有重要意义。
Considering the goal of asset diversification and time dispersion, we use wavelet to analyze the linkage between China’s stock market and the 10 major stock markets in Asia-Pacific from the two dimensions of time and time scale. The results show that the linkage between China’s stock market and Asia-Pacific stock market is Time and time scales change in two dimensions. From 2003 to 2006, it is a critical period for stock market linkage. High linkage is concentrated on a large time scale, linkage on the small and medium scales is weak, and the linkage mode is not stable. Stock market linkage increased during the financial crisis, but the scope of the time scale of the subprime mortgage crisis and the increased linkage during the European debt crisis were significantly different. These empirical findings are of great significance for asset managers to identify risk diversification opportunities and construct portfolio strategies.