上证指数“百点效应”实证研究——基于前景理论的分析

Empirical Study on the "Hundred-point Effect" of Shanghai Composite Index:Analysis Based on Prospect Theory

通过研究上证指数落在百点附近区间的频率和日K线图的表现,揭示了其分布规律和运行特征。实证结果表明,从市场总体看,百点区间内样本较大时上证指数落在百点附近区间的频率接近均匀分布时的概率,上涨行情时,越过大多数百点位比较困难,而下跌行情时比较容易,百点位在某段行情的稳定性与上证指数在该百点附近区间的横盘整理时间有关。

The distribution regularities and characters of Shanghai Composite Index were revealed by studying its frequency in around - hundred - point intervals and performance of K - day - line. The empirical results show that： the frequency of SCI in around - hundred - point intervals is roughly equal to the probability of the uniform distribution when the sample of hundred- point -interval is large in general market. It＇s difficult to pass through most hundred - points in bull market while easy in bear market. The stability of hundred - point is connected with the schedule for SCI＇s adjustment in around -hundred- point intervals.