摘要
金融市场的事实已经证明,股票价格风险波动不仅受市场风险波动的制约,而且随资本市场的环境变化,股价特殊风险已越来越显著的影响和决定着股价总体波动水平的变化。文章从浙江省上市企业的股价收益序列中分解、提炼出股价特殊风险,用投资者行为效应来判断其信息特征的变动规律,通过与系统风险信息特征及其投资者行为效应的对比,获取特殊风险呈现的信息特征规律。
Financial markets has proved that the risks of stock price fluctuation not only influenced by market risks, but also determined by idiosyncratic risks more and more significantly along with the capital market environ- ment changed. This paper decomposes idiosyncratic risks from the risks of stock price fluctuation of listed enterprises which form Zhejiang Province. Through studying the information characteristics with tools of investor behavior effects, and comparing with systematic risks, the paper has obtained the information characteristics for idiosyncratic risks.
出处
《金融教育研究》
2014年第1期30-34,共5页
Research of Finance and Education
基金
浙江省教育厅科研项目:浙江省上市企业股价特殊风险的影响因素研究(Y201224415)
浙江省社会科学界联合会研究课题:面向企业创新网络的政策性金融与商业金融体系协同发展研究(2013N144)
关键词
特殊风险
系统风险
信息特征
idiosyncratic risk
systematic risk
information characteristics
