期刊文献+

我国股票市场波动非对称性的实证研究 被引量:14

Asymmetry and Speculation in China Stock Market An Empirical Study
下载PDF
导出
摘要 本文首先对沪深两市收益率的性质作了统计分析,由统计分析的结果得知两市的收益率数据可以应用t分布下的EGARCH-M模型作波动的非对称性实证研究,研究结果证实了沪深两市中都存在显著的非对称性波动,并且,从经济意义上讲,上海股市的非对称性更显著;结果还表明,总体上讲沪市中的投机性要比深市严重。 The statistical analysis of rate of return in Shanghai and Shenzhen stock markets indicates that the statistics can be applied to make researches on asymmetry through EGARCH-M model. The result proves that there exists distinguished nonsymmetrical fluctuation in the two stock markets, and economically speaking, it is more distinguished in Shanghai stock market. The result indicates that speculation in Shanghai stock market is more serious than that in Shenzhen stock market.
出处 《当代经济管理》 2005年第3期154-158,共5页 Contemporary Economic Management
关键词 非对称性 EGARCH—M模型 投机市 asymmetry EGARCH-M model speculation market
  • 相关文献

参考文献4

二级参考文献11

  • 1Nelson D B. Conditional heteroscedasticity in asset returns: A new approach[J]. Econometrica, 1991, 59(2):347-370.
  • 2Glosten L R, Jagannathan R, Runkle D E. On the relation between the expected value and the volatility of nominal excess return on stocks[J]. Journal of Finance, 1993, 48: 1779-1801.
  • 3Engle R F, Ng V K. Measuring and testing the impact of news on volatility[J]. Journal of Finance, 1993, 48:1749 - 1801.
  • 4Zakoian J M. Threshold heteroskedastic models[J]. Journal of Economic Dynamics and Control, 18: 931-955.
  • 5Black F. Studies of Stock Price Changes, Proceeding of the 1976 Meeting of the American Statistical Association[EB]. Business and Economical Statistics Section, 177-181.
  • 6Christie A A. The stochastic behavior of common Stock variance-value, leverage and interest rate effects[J].Journal of Financial Economics, 10:407-432.
  • 7Guojun Wu. The determinants of Asymmetric volatility[J]. The review of Financial Studies , 2001, 14(3): 837859.
  • 8张思奇,马刚,冉华.股票市场风险、收益与市场效率:——ARMA-ARCH-M模型[J].世界经济,2000,23(5):19-28. 被引量:107
  • 9唐齐鸣,陈健.中国股市的ARCH效应分析[J].世界经济,2001,24(3):29-36. 被引量:138
  • 10陈浪南,黄杰鲲.中国股票市场波动非对称性的实证研究[J].金融研究,2002(5):67-73. 被引量:161

共引文献163

同被引文献65

引证文献14

二级引证文献32

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部