摘要
沪深300指数作为反映我国普通股票价格波动的代表性指标,其价格波动究竟是否存在集聚效应?为了深入地刻画其价格的波动集聚行为,文章选取了2016年1月4日至2019年6月3日高频数据利用ARMA-GARCH模型对沪深300指数的价格波动进行了分析和预测,结果发现,沪深300指数价格波动存在预期中的集聚现象,且其集聚行为短期内对普通股股票价格影响较为显著,而随着时间的推移,其影响逐渐减弱。
Shanghai and Shenzhen 300 Index is Known, as a representative indicator reflecting the fluctuation of China’s common stock price. Does its price fluctuation have an agglomeration effect? In order to deeply describe the volatility agglomeration of its price,this paper selects the high frequency data from January 4 th, 2016 to June 3 th, 2019 to analyze and predict the price fluctuation of the Shanghai and Shenzhen 300 Index using the ARMA-GARCH model. It is found that the price fluctuation of the Shanghai and Shenzhen 300 Index has the expected agglomeration phenomenon, and its agglomeration behavior has a significant impact on the common stock price in the short term, and its influence gradually weakens with the passage of time.
作者
陈玲
刘艳华
Chen Ling;Liu Yan-hua(Anhui University of Technology,Ma'anshan Anhui 243000,China)
出处
《铜陵学院学报》
2019年第6期32-36,共5页
Journal of Tongling University