中文摘要：

研究深圳股票市场的奇异值分解熵与其成分指数和波动之间的关联,通过结构突变协整检验和T-Y Granger因果检验发现：深圳股票市场的奇异值分解熵与其成分指数之间存在结构突变协整关系,股权分置改革是导致市场结构突变的原因。对于深圳股票市场而言,在股权分置改革前,奇异值分解熵与成分指数之间存在协整关系,但是对成分指数不具有预测能力;在股权分置改革后,奇异值分解熵与成分指数之间不存在协整关系,但是对成分指数具有显著的预测力。就总体而言,深圳股票市场的奇异值分解熵对市场波动具有显著的预测力。

英文摘要：

This paper analyzes the relevance between the singular value decomposition entropy and the Component Index as well as its volatility from Sbenzben stock market. It is found that, due to the reform of non-tradable shares, the cointegration with structural break exists between the entropy and the Component Index. The entropy has predictive power for the index after the reform of non-tradable shares, but no predictive power before that. On the whole, the entropy has the significant predictive power for the volatility of the Component Index.