东京证券交易所崩盘前后的全市场价格联动

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摘要翻译：
本文通过分析2007-2009年三年中东京证券交易所日经225指数成份股的高频股票收益率数据，研究了崩盘前后市场范围内的价格协同变动。对日间连续拍卖中1 min时间间隔的时间序列的逐日主成分分析结果表明，相关矩阵的最大特征值具有长达几个月的长时间显著自相关性，反映了股票价格的全市场协同运动的强度。它还与日经225指数的开盘至收盘日内收益率和日收益率有很强的相关性。我们还在多重分形随机游动模型的框架下研究了最大特征值对应的第一主成分--市场模式。在滑动时间窗内估计的模型参数，描述随机波动率对数的协方差，在几乎所有的日内价格跌幅小于-5%之前增长。这种现象表明崩盘前全市场集体行为的上升，这可能反映了市场参与者的羊群行为。
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英文标题：
《Market-wide price co-movement around crashes in the Tokyo Stock Exchange》
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作者：
Jun-ichi Maskawa, Joshin Murai and Koji Kuroda
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  As described in this paper, we study market-wide price co-movements around crashes by analyzing a dataset of high-frequency stock returns of the constituent issues of Nikkei 225 Index listed on the Tokyo Stock Exchange for the three years during 2007--2009. Results of day-to-day principal component analysis of the time series sampled at the 1 min time interval during the continuous auction of the daytime reveal the long range up to a couple of months significant auto-correlation of the maximum eigenvalue of the correlation matrix, which express the intensity of market-wide co-movement of stock prices. It also strongly correlates with the open-to-close intraday return and daily return of Nikkei 225 Index. We also study the market mode, which is the first principal component corresponding to the maximum eigenvalue, in the framework of Multi-fractal random walk model. The parameter of the model estimated in a sliding time window, which describes the covariance of the logarithm of the stochastic volatility, grows before almost all large intraday price declines of less than -5%. This phenomenon signifies the upwelling of the market-wide collective behavior before the crash, which might reflect a herding of market participants.
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PDF链接：
https://arxiv.org/pdf/1306.2188

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关键词：东京证券交易所 证券交易所 证券交易 市场价格 市场价 time 时间 行为 movement 指数