| 中小板股票交互相关性研究 |
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| 引用本文： | 成丹丹,周明华,胡征慧,李阿明.中小板股票交互相关性研究[J].科技通报,2011,27(4):615-620. |
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| 作者姓名： | 成丹丹 周明华 胡征慧 李阿明 |
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| 作者单位： | 1. 浙江工业大学,理学院,杭州,310023
2. 浙江工业大学,健行学院,杭州,310023 |
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| 基金项目： | 国家大学生创新性实验计划 |
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| 摘 要： | 以中小板和沪深主板的5 min收益率为研究对象,运用随机矩阵理论的概念和方法对中小板股票进行交互相关性分析,并与主板市场作比较.发现中小板股票问的交互相关性弱于沪深主板股票,当相关系数的均值达到顶峰时,股指刚好分别下跌至各时段的低点,此现象表明中小板股票在下跌过程中有较强的同步性.当股指上升时,不同板块的股票的相关程度...
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| 关 键 词： | 交互相关性 随机矩阵 中小板 |
Research on Cross Correlation of SME Board Stocks |
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| CHENG Dandan,ZHOU Minghua,HU Zhenghui,LI Aming.Research on Cross Correlation of SME Board Stocks[J].Bulletin of Science and Technology,2011,27(4):615-620. |
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| Authors: | CHENG Dandan ZHOU Minghua HU Zhenghui LI Aming |
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| Institution: | CHENG Dandan 1,ZHOU Minghua 1,HU Zhenghui 2,LI Aming 1(1.College of Science,Zhejiang University of Technology,Hangzhou 310023,China,2.Jianxing College,China) |
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| Abstract: | Based on the 5 min returns of SME board,Shanghai and Shenzhen motherboard,the cross correlations among SME board stocks are analyzed in this thesis by the concepts and methods of Random matrix theory,in comparison with those of the motherboard market.The weaker cross correlations of SME board's stocks are found which compared to Shanghai and Shenzhen motherboard.The index goes down to valley,while the mean of correlation coefficients goes up to peak,it implies that the cross correlations among stocks have a... |
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| Keywords: | cross correlation Random matrix SME board |
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