摘要
选用中国股市30个行业的日指数数据,研究各行业贝塔的时变特征,并据此分析了行业和股市的动态关系,从时变贝塔的结构特征方面研究了中国股市的动态发展.时变贝塔的应用也是一个值得探讨的课题,本文首次将时变贝塔引入到股指期货仿真交易市场中的套期保值研究.
The estimation of time-varying betas is an important and growing area of research. Using daily China stock market data from 2000 to 2006 for the 30 sectors, we estimate the time-varying betas by Multivariate GARCH（ MGARCH） model. We discuss the statistical characteristics of the beta estimates for sub-periods and the relationship between the sector index and the market index by analyzing the structures of the time-variation betas. In this paper, we also use the time-varying betas to study the index futures, which seems to be new.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2008年第10期14-23,共10页
Systems Engineering-Theory & Practice
基金
国家基础研究计划(973项目)(2007CB814902)
国家自然科学基金(70221001
70331001
10628104)
