摘要
利用马尔科夫状态转移.ARCH模型(SWARCH)来研究中国股票市场行业板块的波动性和相关性.首先对证监会划分的18个一级行业进行初步分析,建立单变量SWARCH模型,发现中国股票市场各行业板块均能够显著地分为高波动和低波动两个区制;接着利用双变量SWARCH模型对行业板块间的相关性进行研究,发现各行业板块之间的相关性在高波动区制显著高于低波动区制.所得的研究结论可以为投资者提高投资组合收益率提供参考依据.
This paper used Markov ARCH model（SWARCH） to study the Chinese stock market industries sectors＇ volatilities and correlations. Firstly, employing univariate Markov regime switching ARCH （SWARCH） model to study the volatility of 18 Chinese industry sectors, founding that all industry sectors were able to divide into two zones, namely high volatility regime and low volatility regime. Secondly, bivariate SWARCH model is introduced on this basis to analyze the correlation between the various industries sectors, the results show that the correlation coefficient is higher in high volatility regime than in low volatility regime. These findings can provide reference for investors to increase portfolio yield.
作者
沈江建
龙文
SHEN Jiang-jian LONG Wen(Research Center on Fictitious Economy ＆ Data Science CAS, Beijing 100190, China School of Economics and Management, UCAS, Beijing 100190, China Key Laboratory of Big Data Mining and Knowledge Management, CAS, Beijing 100190, China)
出处
《数学的实践与认识》
北大核心
2016年第21期80-88,共9页
Mathematics in Practice and Theory
基金
国家自然科学基金(71101146)
中国科学院大学校长基金和中国科学院大学校部与研究所科研合作专项基金资助
关键词
行业板块
高波动区制
低波动区制
相关性
industry sector
high volatility regime
low volatility regime
correlation
