期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

中国股票市场波动非对称性特征研究 被引量：9

Study on Asymmetric Volatility of China Stock Market
原文传递
导出
摘要 利用三种 GARCH-M模型实证分析了中国股票市场不同发展阶段波动的非对称性特征 .结果发现 ,中国股票市场存在显著的波动非对称性 ,并且在不同阶段呈现不同特点 .对三种模型进行比较的结果显示 ,EGARCH-M模型是描述中国股市波动非对称性特征的最优模型 . Using three kinds of models of GARCH-M, this paper investigates asymmetric volatility of China stock market. The conclusion shows asymmetric volatility characteristic is exist significantly and different in different periods. Compared with three models, EGARCH-M model is most appropriate for description of asymmetric volatility of China stock market.
作者 任彪 李双成
机构地区 天津大学管理学院 河北经贸大学数学与统计学学院
出处 《数学的实践与认识》 CSCD 北大核心 2004年第9期63-68,共6页 Mathematics in Practice and Theory
基金 国家自然基金项目资助 (70 2 71 0 0 6) 国家自然科学基金资助 (70 2 71 0 71 ) 河北省教育厅人文社会科学研究计划项目资助 (S0 3 2 0 6)
关键词 中国股票市场 非对称性 中国股市 EGARCH GARCH-M模型 波动 实证分析 性特征 描述 发现 China stock market asymmetric volatility GARCH-M
分类号 F224 [经济管理—国民经济]
  • 相关文献

参考文献9

  • 1Engle R F, Ng V K. Measuring and testing the impact of news on volatility[J]. Journal of Finance, 1993, 48:1749 - 1801.
  • 2Zakoian J M. Threshold heteroskedastic models[J]. Journal of Economic Dynamics and Control, 18: 931-955.
  • 3Black F. Studies of Stock Price Changes, Proceeding of the 1976 Meeting of the American Statistical Association[EB]. Business and Economical Statistics Section, 177-181.
  • 4Christie A A. The stochastic behavior of common Stock variance-value, leverage and interest rate effects[J].Journal of Financial Economics, 10:407-432.
  • 5Guojun Wu. The determinants of Asymmetric volatility[J]. The review of Financial Studies , 2001, 14(3): 837859.
  • 6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
  • 7宋逢明,江婕.中国股票市场波动性特性的实证研究[J].金融研究,2003(4):13-22. 被引量：84
  • 8Nelson D B. Conditional heteroscedasticity in asset returns: A new approach[J]. Econometrica, 1991, 59(2):347-370.
  • 9Glosten 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.

二级参考文献24

  • 1Andersen, T.G. and Bollerslev, T., 1997, "Heterogentms Information Arrivals and Return Volatility Dynamics: Uncoveringthe Long-Run in High Frequency Returns", Journal of Finance, vol.52, pp. 975 - 1005.
  • 2Bollerslev T., 1986 "Generalized autoregressive conditional heteroskedastieity, "Jotunal of Econometrics 31, pp. 307 - 327.
  • 3Bollerslev T., 1986 "Generalized autoregressive conditional heteroskedastieity, "Joumal of Econometrics 31, pp. 307 - 327.
  • 4Brailsford, T.J. and Fail', R.W., 1996, "An Evaluation of Volatility Forecasting Techniques", Journal of Banking and Finance, vol. 20, pp. 419-438.
  • 5Chou, P.H., 1997, "A Gibbs Sampling Approach to the Estimation of Linear Regression Models under Daily Price Limits",Pacific - Basin Finance. Jounal, 5, 39 - 62.
  • 6Chou, P.H., 1999, "Modeling Daily Price Limits", International Review if Financial Analysis, 8, 283 -301.
  • 7Granger, C.W.J., 1992, "Forecasting Stock Market Prices: Lessons for Forecasters", lnternanonal Journal of Forecasting,vol. 8, pp. 3- 13.
  • 8Hamilton J. D. and Susmel R., 1994. "Autoregrcssive conditional hetonoedastieity and changes in regime," Journal ofEconometrics 64, pp.307 - 333.
  • 9Hodrick, Robert J., 1987, "Foreign Currency Futures", Journal of International Economies, Vol. 22(Feb), pp. 1 - 24.
  • 10Kodres, L.E., 1988, "Tests of Unbiasedness in the Foreign Exchange Futures Markets: The Effect of Price Limits", Review of Futures Markets, 7, 139 - 175.

共引文献227

同被引文献96

二级引证文献49

数学的实践与认识
2004年 第9期

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