The Wavelet Analysis on Correlation Among Stock Markets of Shanghai,Shenzhen,Hong Kong
Lei Lei · Shuxue de shijian yu renshi · 2008
The Discrete Wavelet Transform is applied to studying the relationship between stock markets of Shanghai,Shenzhen,Hong Kong.The wavelet can decompose the variance and correlation in different scales such that it is possible to study more carefully the fluctuating and the correlative degree of time series in different scales.The key empirical results show that the volatilities change along with changing the wavelet scales among three stock markets.Furthermore,the Shanghai and Shenzhen stock markets are both less correlated with Hong Kong stock market,moreover,there are biggish differences in different scales.