| 摘要: |
| 以余额宝、理财通为互联网货币基金代表，选取两种货币基金2013-2020年的七日年化收益率数据为研究区间，运用多重分形分析方法研究了两种货币基金的对数日收益率序列的多标度行为及其之间的非线性动态关系。结果表明，余额宝与理财通两收益率序列均存在时变的多重分形特征，相比较而言，理财通收益率序列的多重分形强度更大，而余额宝收益率序列的正持续性更强。此外，在小波动下，两收益率序列均表现出强持续性。进一步地，还发现了两种互联网货币基金之间的交互相关关系是正相关的，具有多重分形性。同时，讨论新冠肺炎疫情对互联网货币基金收益率的影响，并针对当前新冠肺炎疫情形势，给出投资理财建议。 |
| 关键词: 互联网货币基金；多重分形特征；MF-DCCA；新冠肺炎 |
| DOI： |
| 分类号: |
| 基金项目: |
|
| Multifractal Analysis of Internet Money Fund—Take Yu’ebao and The Wealth Management as Examples |
|
龙云安
|
|
|
| Abstract: |
| Taking Yu’ebao and the wealth management as the representatives of Internet money funds, this paper selects the 7-day annualized yield data of the two monetary funds from 2013 to 2020 as the research interval, multifractal analysis methods are used to study the multi-scale behavior and the nonlinear dynamic relationship between them. The results show that both of the two return series have time-varying multifractal characteristics. In comparison, the multifractal strength of the return series of the the wealth management is greater than that of Yu’ebao，while the long-range of Yu’ebao is stronger than that of the wealth management. In addition, in the small fluctuations situation, the two returns series show strong persistence. Furthermore, the interrelationship between the two Internet monetary funds is found to be continuous and multifractal. Meanwhile, the impact of the COVID-19 on the return of the Internet monetary fund is discussed, and in view of the novel coronavirus pneumonia epidemic situation, give investment and financial advices. |
| Key words: Internet Money Fund；Multifractality；MF-DCCA；COVID-19 |
