摘要
科创板的设立是落实创新驱动和科技强国战略,推动高质量发展,支持上海国际金融中心和科技创新中心建设的重大举措。论文选用科创板第一批上市企业的高频交易数据科学构造科创板指数,采用随机波动模型对科创板的收益率波动性进行实证分析。通过基于马尔可夫链的蒙特卡罗模拟的贝叶斯方法,选取2019年7月22日到9月30日期间每隔10分钟的高频数据,对比分析表明,科创板指数的收益率具有明显的尖峰厚尾的特性,同时科创板的波动性具有较强的持续性。
The establishment of the STAR market is a major measure to implement the strategy of innovation-driven and technological power, promote high-quality development, and support the construction of Shanghai’s international financial center and technological innovation center.This paper selects the high-frequency trading data of the first batch of listed companies on the STAR market to scientifically construct the STAR market index, and uses the stochastic volatility model to conduct an empirical analysis on the volatility of the STAR market return rate.Through the Bayesian method of Monte Carlo simulation based on Markov chain, the high-frequency data every 10 minutes from July 22 to September 30,2019 is selected.The comparative analysis shows that the yield of the STAR market index has distinct trend of sharp peak and fat tail, and the volatility of the STAR market has a strong sustainability.
作者
郭建峰
白瑜瑜
Jeff Guo;Bai Yuyu(I.School of Economics and Management,Xi’an University of Posts and Telecommunications,Xi’an,Shaanxi,710061;Henley Business School,University of Reading,Reading RG66AH)
出处
《市场周刊》
2021年第4期127-129,共3页
Market Weekly
基金
陕西省科技计划软科学研究计划——面上项目(项目编号:2017KRM102)
陕西省教育厅科研计划项目(项目编号:17JK0688)
陕西省教育科学“十三五”规划课题(课题编号:SGH18H173)。
关键词
科创板指数
蒙特卡罗方法
随机波动模型
index of STAR market
Monte Carlo methods
stochastic volatility model
