SV族模型对沪市综合指数的实证分析

An Empirical Study of the Stock Composite by Using SV Modes

选取沪市股价综合日指数(1997/01/02～2003/12/26)作为样本,对上证综合指数进行了实证分析,根据有效市场理论,利用股指的随机游走过程对上海股市的有效性进行检验,建立SV族模型验证上海股市的可预测性实证结果发现:上海股市具有杠杆效应。

We choose the daily composite index of stock price in Shanghai as the example, and analyze the stock fluctuate by econometric method. According to the effective market theory, we do inspection on the stock prices by the course that leaves in the trip immediately, and make SV models to inspect the estimations. we find that the stock market in Shanghai has the qualifications of leverage, long memory, and lasting fluctuation.