摘要
引入符号时间序列分析方法,以收益符号序列修正Shannon熵作为市场有效性的度量,以时变修正Shannon熵描述市场有效性随时间的变化,采用Logit模型分析价格异常波动或暴跌发生的概率与市场有效性之间的关系。将提出的方法应用于沪深两个股票市场的异常波动及暴跌与市场有效性关系的分析中,结果表明市场有效性越弱,发生异常波动或暴跌的概率越大,市场有效性对异常波动的影响比对价格暴跌的影响更显著,深圳市场有效性对异常波动或价格暴跌的影响比上海市场更显著。理论与实证分析都表明所提出的方法是可行的、有效的。
Symbolic time series analysis method is introduced and the normalized Shannon entropy of return symbolic time series is used to measure the market efficiency.The time varying normalized Shannon entropy is applied to describe the evolution of market efficiency.The logit model is proposed to analyze the relationship between the probability of abnormal volatility or crash and the market efficiency.The method suggested is applied to the analysis of the relationship between the probability of abnormal volatility or crash and the market efficiency of Shanghai and Shenzhen stock markets.The results indicate that the lower the market efficiency,the higher the probability of abnormal volatility or crash.The effect of market efficiency on the probability of abnormal volatility is significant than on that of crash.The effect of Shenzhen market efficiency on the probability of abnormal volatility or crash is significant than that of Shanghai market.The method suggested is proved to be effective and feasible both by theoretical and empirical analysis.
出处
《数理统计与管理》
CSSCI
北大核心
2015年第2期357-366,共10页
Journal of Applied Statistics and Management
基金
国家自然科学基金资助项目(编号:70971097)
关键词
符号时间序列分析
熵
金融市场
有效性
波动
暴跌
symbolic time series analysis
entropy
financial market
efficiency
volatility
crash