新兴股票市场的部门整合:一个多层次的方法
Kingstone Nyakurukwa1, Yudhvir Seetharam1
1School of Economics and Finance, University of the Witwatersrand, Johannesburg, South Africa.
概括
约翰内斯堡证券交易所 (JSE) 上的行业部门高度相互联系,特别是在危机期间. 在最需要的时候,JSE上的多元化是不可靠的,这表明投资者应该探索替代的避险资产.
科学领域:
- 经济物理学 经济物理学
- 金融市场分析 金融市场分析
- 时间频率领域研究 时间频率领域研究
背景情况:
- 对于理解股票市场动态来说,部门的相互依赖是至关重要的.
- 现有的研究往往侧重于发达市场,在发展中国家的环境中留下差距.
- 非正常性,异常值和非静止性在财务数据中很常见,需要强大的分析方法.
研究的目的:
- 调查约翰内斯堡证券交易所 (JSE) 上工业部门的时间频率连接.
- 分析不同频率和应对经济冲击的部门整合的演变.
- 为JSE提供有关部门多元化和危机管理的投资策略提供见解.
主要方法:
- 应用基于经济物理学的方法,特别是波纹多重相关性和波纹 Skalogram 差异.
- 在时间频率领域进行分析,以捕捉动态的相互关系.
- 使用可靠的非参数方法来检测数据不规则,如非正常和异常值.
主要成果:
- 观察到JSE部门之间的显著整合,特别是在较低的频率.
- 波形多重相关性在重大冲击期间呈现高峰,包括COVID-19大流行 (2020) 和南非债务降级 (2013).
- 在危机时期,JSE的部门多样化被证明是无效的.
结论:
- 联合交易所 (JSE) 的各个部门表现出强烈的,依赖频率的连接.
- 联合证券交易所的综合性质在市场动荡期间减少了多元化的好处.
- 建议投资者考虑多元化资产类别超出JSE的危机保护.
相关概念视频
Cross-Sectional Research
11.4K
In cross-sectional research, a researcher compares multiple segments of the population at the same time. If they were interested in people's dietary habits, the researcher might directly compare different groups of people by age. Instead of following a group of people for 20 years to see how their dietary habits changed from decade to decade, the researcher would study a group of 20-year-old individuals and compare them to a group of 30-year-old individuals and a group of 40-year-old...
11.4K
Econometric Views (EViews)
176
Econometric Views, often stylized as EViews, is a package that merges statistical analysis with econometric studies. It is designed to provide tools for time series analysis, forecasting, and econometric model simulation. The software originated from MicroTSP software and has evolved significantly since its inception in 1981. The history of EViews is marked by a continuous effort to enhance its computational speed and user interface. It was initially developed for large computing systems but...
176
Global Regulatory Systems
45
Global regulatory systems in bacteria enable rapid and coordinated responses to environmental changes by integrating sensory inputs with gene expression, ensuring efficient adaptation to fluctuating conditions. Key global regulatory mechanisms include regulons, two-component systems, sigma factors, and secondary messengers.Regulons and Global RegulatorsA regulon is a collection of genes and operons controlled by a common global regulator. These regulators enable bacteria to prioritize resource...
45
Multicompartment Models: Overview
191
Multicompartment models are mathematical constructs that depict how drugs are distributed and eliminated within the body. They segment the body into several compartments, symbolizing various physiological or anatomical areas connected through drug transfer processes such as absorption, metabolism, distribution, and elimination.
These models offer a more comprehensive representation of drug behavior in the body than one-compartment models. They accommodate the complexity of drug distribution,...
These models offer a more comprehensive representation of drug behavior in the body than one-compartment models. They accommodate the complexity of drug distribution,...
191
Levels of Use of a GIS
72
Geographic Information Systems (GIS) operate across three levels of application, each representing an increasing degree of complexity: data management, analysis, and prediction. These levels reflect the expanding functionality and versatility of GIS technology in handling spatial data for diverse purposes.Data ManagementAt its foundational level, GIS serves as a tool for data management, enabling the input, storage, retrieval, and organization of spatial data. This level is often employed in...
72
Multi-input and Multi-variable systems
132
Cruise control systems in cars are designed as multi-input systems to maintain a driver's desired speed while compensating for external disturbances such as changes in terrain. The block diagram for a cruise control system typically includes two main inputs: the desired speed set by the driver and any external disturbances, such as the incline of the road. By adjusting the engine throttle, the system maintains the vehicle's speed as close to the desired value as possible.
In the absence...
In the absence...
132


