期刊文献+

基于金融危机事件窗上证A股的实证研究 被引量:1

Empirical study of Shanghai A-share on basis of event window of financial crisis
下载PDF
导出
摘要 鉴于次贷危机的爆发,中国受到美国金融危机影响的持续时间在扩大,中国的股票市场受到了较为严重的冲击.我们有必要利用ARCH族模型在金融危机发生前后对上证A股的对数收益水平和风险水平进行实证分析.分析结果表明,金融危机前收益水平为0.002 533,金融危机后收益水平降低到-0.003 049,收益水平降低的幅度较大.金融危机前风险水平为0.051 759,金融危机后风险水平为0.058 045,金融危机发生后股市收益水平降低,风险水平增加. In view of the sub-prime crisis, the effect of the US financial crisis on China is be- ing more and more , China' s stock market has been more serious impacted. This paper used ARCH family of models to analysis the logarithmic return level and the risk level of Shanghai A -share before and after the financial crisis. The results showed that: the level of return was 0. 002 533 before the financial crisis, the level of return reducese to - 0. 003 049 after the financial crisis, a significant reduction in return level, the risk level was 0.051 759 be- fore the financial crisis, the level of risk is 0.058 045 after the financial crisis, the level of stock market return level was reduced and risk level was increased after the financial crisis.
作者 吴玉东
出处 《哈尔滨商业大学学报(自然科学版)》 CAS 2012年第4期464-468,共5页 Journal of Harbin University of Commerce:Natural Sciences Edition
关键词 ARCH模型 收益水平 风险水平 ARCH model return level risk level
  • 相关文献

参考文献6

二级参考文献15

  • 1陶爱元.金融时序的波动率模型比较研究[J].统计与决策,2005,21(08S):9-11. 被引量:6
  • 2赵留彦,王一鸣.中国证券市场波动与收益的非线性相关[J].系统工程理论与实践,2005,25(12):1-10. 被引量:9
  • 3张敏,张朋柱,刘璇.商业银行资金流动异常行为监测的仿真体系设计[J].上海管理科学,2007,29(1):10-14. 被引量:2
  • 4Engle,R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom Inflation [J]. Econometrica,1982,50.
  • 5Bollerslev,T.A. Generalized Autoregressive Conditional Heteroskedasticity[J]. Journal of Econometrics,1986,31.
  • 6Nelson,D.B. ARCH models as diffusion approximations[J].Journal of Econometrics, 1990,45.
  • 7Engle,R.F,Autoregressive conditional heteroscedasticity with estimates of variance of UK inflation[J].Econornetrica,1982,(50),PP987-1008
  • 8Bollerslev,T.Genrealized Autoregressive Conditonal Heteroskedasticity,[J].Journal of Economerics,1986,(3),PP307-327
  • 9Engle.R,D.M.Lilien,and Russell.P.R.Estimating Time Varying Risk Premia in the Term Structure:The ARCH--Model[J].Econornetrica,1987,(55),PP391--406
  • 10汉密尔顿 J D 著 刘明志译.时间序列分析[M].北京:中国社会科学出版社,1999..

共引文献10

同被引文献4

引证文献1

二级引证文献2

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