文献类型：期刊文献

中文题名：金融危机前后中国股票市场和外汇市场的交叉相关性:基于多重分形理论的视角

英文题名：Cross-Correlation between Stock Market and Foreign Exchange Market in China Before and After the Financial Crisis:A Perspective Based on Multi-fractal Theory

作者：汪冬华[1];索园园[1]

机构：[1]华东理工大学商学院,上海200237

年份：2013

卷号：22

期号：3

起止页码：394

中文期刊名：系统管理学报

外文期刊名：Journal of Systems & Management

收录：CSTPCD;;CSSCI:【CSSCI2012_2013】；

基金：国家自然科学基金资助项目(71171083);教育部人文社会科学研究基金资助项目(09YJC630075)

语种：中文

中文关键词：股票市场;外汇市场;交叉相关性;金融危机;多重分形

外文关键词：stock market ; foreign exchange market ; cross-correlation; financial crisis; multi-fractal

摘要：以上证综合指数和复旦人民币汇率综合指数2000-01～2010-11的日度数据为样本,利用多重分形交叉相关分析法(MF-X-DFA)和多重分形降趋脉动分析法(MF-DFA)研究金融危机前后中国股票市场和外汇市场的交叉相关性。结果表明:股票市场和外汇市场均具有多重分形特征,市场之间存在交叉相关性;其次,金融危机发生后,这2个市场之间的交叉相关性明显增强,风险在市场间的传染效应加剧。
In this paper, we investigate the cross-correlation between the stock market and the foreign exchange market in China before and after the financial crisis using MF-X-DFA method as well as MF-DFA method based on the daily statistics of Shanghai Composite Index and Fudan RMB exchange rate indices from January 2000 to November 2010. The empirical results demonstrate that both the stock market and the foreign exchange market exhibit multi-fractal properties, and that there is cross-correlation between them. In addition, the cross-correlation significantly enhanced after the financial crisis, indicating that the contagion effect of risk intensified between markets.