A Multiresolution Wavelet Based Analysis of the Chinese Stock Market

摘要：

This paper investigates the domestic impacts on the Chinese stock market using multiresolution wavelet. Three domestic impact factors are considered,which are in.ation rate,M2 and lending rate,while Shanghai stock exchange composite index (SSECI) is selected to be representative of the Chinese stock market due to its signi.cance. By decomposing the time series into four level cycles with different scales,the results reveal that among the three domestic factors,M2 has the strongest impact on SSECI at all scales,followed by in.ation rate,while lending rate contributes almost no in.uence to the Shanghai stock exchange except at the largest scale of 16-32 month cycles.

关键词： Chinese stock market wavelet in.ation rate M2 lending rate

作者: Ling Huang Changdong Wang Song Qin

作者单位: School of Economics and Commerce South China University of Technology,Guangzhou,China School of Information Science and Technology Sun Yat-sen University,Guangzhou,China

会议类型: 国际会议

会议名称: The Third International Conference on Business Intelligence and Financial Engineering(第三届商务智能与金融工程国际会议 BIFE 2010)

会议地点: 香港

会议语种:英文

页码: 305-309

在线出版日期: 2010-08-17（万方平台首次上网日期，不代表论文的发表时间）