我国A股市场系统风险时变性研究

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摘要本文通过构建我国流动性金融资产组合的收益序列,以此为参照运用模型对我国A股市场总体系统风险的时变性进行实证分析。实证结果表明,近年来随着流通市值的快速扩张,我国A股市场整体的系统性风险在不断加大。

作者贝政新朱丹袁理

机构地区苏州大学商学院东吴证券研究所

出处《商场现代化》 2009年第36期16-18,共3页

关键词系统性风险时变性 GARCH(1 1)-M

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商场现代化

2009年第36期

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