沪深300与中证500收益率相关性分析_python_数据分析_6

import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from scipy import stats
plt.rcParams['font.sans-serif'] = ['KaiTi'] # 指定默认字体
plt.rcParams['axes.unicode_minus'] = False # 解决保存图像是负号'-'显示为方块的问题



def get_data():
    #获取沪深300收益率数列
    HS300 = pd.read_excel('stocks.xlsx',sheet_name='510300',index_col=0)
    # print(HS300)
    HS300RET = HS300.loc[:, 'close'].pct_change()
    HS300RET = HS300RET[~np.isnan(HS300RET)]
    HS300RET = HS300RET * 100
    ZZ500 = pd.read_excel('stocks.xlsx',sheet_name='399905',index_col=0)

    ZZ500RET = ZZ500.loc[:, 'close'].pct_change()
    ZZ500RET = ZZ500RET[~np.isnan(ZZ500RET)]
    ZZ500RET = ZZ500RET * 100
    return HS300RET,ZZ500RET

hs300,zz500= get_data()
stocks = pd.DataFrame(hs300)
stocks.columns = ['hs300',]
stocks.loc[:,'zz500'] = zz500
stocks_corr = stocks.corr()
stocks_cov = stocks.cov()
print('沪深300与中证500收益率相关系数')
print(stocks_corr)
print('沪深300与中证500收益率协方差')
print(stocks_cov)
corr = stocks.loc[:,'hs300'].corr(stocks.loc[:,'zz500'])
print('沪深300与中证500收益率相关系数%.2f'%corr)

plt.scatter(stocks.loc[:,'hs300'],stocks.loc[:,'zz500'])
plt.title('沪深300与中证500收益率散点图')
plt.xlabel('沪深300收益率')
plt.ylabel('中证500收益率')
plt.show()