摘要
将股票按不同的特征分类,选出各类中最具代表性的股票构造组合。采用非参数方法处理不同类型股票组合高频收盘价数据,识别出各个组合收益率的跳跃行为。以沪深300股指的跳跃风险作为基准,对不同类型股票收益的跳跃风险进行统计分析。结果表明:中国股票市场存在跳跃风险,且主要以正向跳跃为主。不同类型股票收益跳跃风险不同,相对于其他类型,股价高交易活跃的小盘股的跳跃风险更高。
The paper selected the most representative stock portfolio according to different stock categorization and identified jump behavior of each stock portfolio’s return rate through processing different stock portfolios’ high frequency closing price data by using non-parametric method. Then the paper did statistical analysis on jump risks of different stock returns by using CSI300 stock index as bench mark and results showed that there exist jump risks in China’s stock market and mostly positive risks. There are different jump risks between each type of stock. Comparing to other types of stocks, stocks with higher price and higher active trading small-cap stocks have jump higher risks.
出处
《金融理论探索》
2017年第3期21-29,共9页
Exploration of Financial Theory
关键词
非参数方法
跳跃风险
股票收益
高频数据
non-parametric method
jump risk
stock returns
high-frequency data
