摘要
金融市场中价格波动的多仿射特性研究对市场监管、风险管理和价格预测等一系列重大课题具有极其重要的研究意义。本文通过上证综指和深证成指的实证研究发现了存在其中的多仿射特性 ,并进一步定量地分析比较了两个股票市场中的价格波动行为 ,如过度反应现象 ,从而得出了一些对我国股票市场发展有益的启示和建议。
The study of multi-affinity of price variation in the financial market is essential to a series of problems about market monotor,risk management,and price forecasting.In the case study of the SZZINDEX and the SZCINDEX,this paper find affinanity in our countray stock market,and analysis and compare the two stock markets' price behavior,such as overreaction.Then some useful inspiration and advice were put forward for our countray stock market's development.
出处
《管理工程学报》
CSSCI
2002年第3期86-90,共5页
Journal of Industrial Engineering and Engineering Management
