Abstract
As scientific and technological innovation becomes a new international trend in the background of constantly escalating trade frictions, capital markets are expected to play a leading role in innovation-driven development. Chinese growth enterprise market (GEM) remains a bridge connecting high-tech industries and capital market. Based on GEM's characteristics of the “three high”, the detrended cross-correlation coefficient is proposed to help build an investment model used for measuring nonlinear dependence among assets. This paper studies the statistical properties of the DCCA coefficient and conducts an empirical analysis of the GEM, the results of which prove that the investment model based on DCCA coefficient, as opposed to the traditional one, can boost the profitability of investment portfolio, increase the Sharpe ratio, and keep weight more stable.
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