股市预期的短期波动与长期记忆性研究——基于新浪网股市调查数据

Study on Expectation of Stock Market about Short-term Fluctuation and Long-term Memory—— Based on Sina' s Stock Market Survey Data

基于新浪网的多空调查数据换算得到股市预期,研究发现:股市预期表现出高峰厚尾、集束波动等典型的金融数据特征;TGARCH、FIEGARCH模型显示预期波动具有非对称性看空预期的冲击要大于看多预期;长记忆模型表明股市预期波动均值有中度长记忆性,方差则具有非对称长记忆性。本研究将有利于进一步揭示股市整体预期行为特征和变化规律。

With SINA survey data we obtain the stock yield expectation, and find that stock yield expectation has a typical peak thick tail and volatility cluster characteristics which the financial data always had. By TGARCH and FIEGARCH model, we find that there is asymmetric effect of China's stock yield expectation. Long memory models show that stock yield expectations have an average moderately long memory, and the variance with asymmetric long memory. This conclusion will help to reveal the characteristic and variation of stock yield expectation.