Cross-correlations between Chinese A-share and B-share markets
Cross-correlations between Chinese A-share and B-share markets
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DOI：
10.1016/j.physa.2010.08.029
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发表时间：
2010-12
影响因子：
3.3
通讯作者：
Yudong Wang;Yu Wei;Chongfeng Wu
中科院分区：
文献类型：
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作者：
Yudong Wang;Yu Wei;Chongfeng Wu
本文研究了中国A股和B股市场之间的相关性。定性分析发现，中国A股和B股市场的收益率序列总体上是显著相关的。定量分析表明，短期内的互相关是强多重分形的，而长期内的互相关是弱多重分形的。小波动的相关性在短期内是持续的，大波动的相关性在短期内是反持续的，而各种波动的相关性在长期内都是持续的。采用滚动窗口的方法，我们发现随着时间的推移，特别是限价改革后，相关性越来越弱。我们将这一现象归因于市场效率的提高。在波动率序列上，我们的研究结果表明，交叉相关性比收益率序列之间的强得多。滚动窗口的结果表明，目前波动率序列之间的短期互相关仍然很高。我们稍后也会提供一些相关的讨论。
In this paper, we investigate the cross-correlations between Chinese A-share and B-share markets. Qualitatively, we find that the return series of Chinese A-share and B-share markets were overall significantly cross-correlated based on the analysis of a statistic. Quantitatively, employing the detrended cross-correlation analysis, we find that the cross-correlations were strongly multifractal in the short-term and weakly multifractal in the long-term. Moreover, the cross-correlations of small fluctuations were persistent and those of large fluctuations were anti-persistent in the short-term while cross-correlations of all kinds of fluctuations were persistent in the long-term. Using the method of rolling windows, we find that the cross-correlations were weaker and weaker over time, especially after the price-limited reform. We attribute the fact to the improvement of market efficiency. On the volatility series, our results show that the cross-correlations were much stronger than those between return series. Results from rolling windows show that the short-term cross-correlations between volatility series are still high now. We also provide some relevant discussions later.