Abstract: Using the empirical mode decomposition (EMD) method to make a frequency-band decomposition of the stock price index of China’s sports industry and cultural industry stock market and reconstruct the fluctuation components of different length cycles. On this basis, using thedynamic measurement methods of cointegration test, VAR model and Granger causality test to conduct empirical study on the linkage mechanism of the fluctuation components of the sports industry and cultural industry stock index in different cycles (short cycle fluctuation, medium cycle fluctuation and long-term trend). The results show that the linkage mechanism of sports industry and cultural industry stock market fluctuates to certain extent with the change of fluctuation component cycle length. The linkage of sports industry and cultural industry stock market is weak in a short period of time, but in the long term, the linkage is obvious. This paper provides from the perspective of frequency-band decomposition techniquenew evidence for the linkage mechanism of fluctuationcomponents between China’s sports industry and cultural industry stock market in different cycles. It provides certain reference value for China’s securities regulatory authorities and investors, and broadens views on sports industrial economics studies at home and abroad.

Key words: sports industry, culture industry, stock market, linkage mechanism, empirical mode decomposition, dynamic measurement