An Analysis of Structural Characteristics and Interaction Relationship between Shanghai and Shenzhen Stock Market —Based on the EEMD and State-space Models

In this paper,we investigate the relationship of Shanghai and Shenzhen stock market from the structure and dynamics perspective.Through the ensemble empirical mode decomposition,Shanghai and Shenzhen Stock Index are composed of high-frequency,low frequency and trends,and the contribution rates for each structural component are different.The contribution of Shenzhen stock market' trend is higher than Shanghai stock market.It means that the trend of Shenzhen is more stable than Shanghai Stock Exchange.The contribution of Shanghai stock market' high-low frequency component is higher than that of the Shenzhen stock market.It means that Shanghai is more volatile than Shenzhen Stock Exchange.At the same time,the state-space model shows that the relationship of the trends of Shanghai and Shenzhen stock market reflect two-way transmission on the rate of return and more robust stock market of shanghai.The relationships of low-frequency component mean that stock market' regulation capacity needs to be improved.