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摘要
Recent studies confirm that weather affects the Chinese stock markets, based on a linear model. This paper revisits this topic using DCCA cross-correlation coefficient (rho DCCA(n)), which is a nonlinear method, to determine if weather variables (i.e., temperature, humidity, wind and sunshine duration) affect the returns/volatilities of the Shanghai and Shenzhen stock markets. We propose an asymmetric rho DCCA(n) by improving the traditional rho DCCA(n) to determine if different cross-correlated properties exist when one time series trending is either positive or negative. Further, we improve a statistical test for the asymmetric rho DCCA(n). We find that cross-correlation exists between weather variables and the stock markets on certain time scales and that the cross-correlation is asymmetric. We also analyze the cross-correlation at different intervals; that is, the relationship between weather variables and the stock markets at different intervals is not always the same as the relationship on the whole.
- 出版日期2015-1-10
- 单位南京信息工程大学
