基于修正R/S模型族的中国上市家族企业股票风险特征研究

A Study on the Stock's Risky Features of Chinese Listed Family Enterprises Based on R/S Models

本文利用股票风险分析模型修正R/S模型,利用我国上市家族企业和非家族企业的30只（15对）个股2006年1月4日~2010年1月4日期间的样本数据进行建模分析,来对我国上市家族企业的风险特征进行分析研究。研究结果表明：上市家族企业价格持续状态明显弱于上市非家族企业,家族企业对冲击的消化能力较强;股价波动的关联性,股价的波动一定程度上受历史信息的影响。这些研究发现对投资者来说,掌握历史信息对投资决策是有帮助的。

This paper uses modified R/S models to analyze the data from Jan,4th,2006 to Jan,4th,2010,of which 30（15 couples of） listed family and non-family corporation stocks are randomly selected,to make an analysis of risky characteristic of the Chinese listed family corporations.The study shows that the listed family corporations are less stable than the non-family corporations in terms of prices,and the former have a stronger digestion on the external shocks;the stock volatility could be affected by historical information in certain degrees,which manifests that it is helpful for the investors to be well acquainted with the relevant historical information.