经济数学Issue(2)：9-14,6.
沪深股市夏普比率的多重分形相关性分析
Analysis on Multi-Fractal Relationship between Shanghai and Shenzhen Stock Markets’Sharpe Ratio
摘要
Abstract
The relationship between different stock markets is the hot issue in financial.The past research often only discussed the relationship from the angle of risks or earnings.They neglected that the benefits and risks of the stock market characteristics cannot be separated.Based on this situation,this paper added the literature on the angle of the Sharpe ratio by examining the relationship between Shanghai and Shenzhen stock market.The empirical result reveals that the co-integration relationship between the two stock markets is not obvious,and the correlation between the two stock markets presents multi-fractal fluctuations.关键词
相互关系/夏普比率/沪深股市/多重分形Key words
relationship/sharpe ratio/Shanghai and Shenzhen stock markets/multi-fractal分类
管理科学引用本文复制引用
吴栩,宋光辉,董艳..沪深股市夏普比率的多重分形相关性分析[J].经济数学,2014,(2):9-14,6.基金项目
教育部高等学校博士学科点专项科研基金新教师类资助课题(20120172120050) （20120172120050）
教育部人文社科青年基金项目(13YJC790150) （13YJC790150）
中央高校基本科研业务费专项资金(2013ZB0016) （2013ZB0016）
国家社会科学青年基金(12CJY006) （12CJY006）
