摘要
采用极值理论方法对京东与阿里巴巴股票日对数收益率的VaR进行了研究.在研究期间,对应于不同的尾概率,京东股票日对数收益率的VaR分别高于阿里巴巴股票的;在季节效应分析中,京东股票日对数收益率在四个季度的VaR由高到低的排序为Q3,Q2,Q1,Q4,阿里巴巴的则为Q3,Q4,Q1,Q2.这两个企业虽然都是中国的电商企业,但经营模式,管理模式,促销模式、经营范围、平台、数据管理、员工管理等方面都有差异,这是造成上述结果的主要原因.
In this paper,the VaR of the daily log returns of Jingdong and Alibaba stocks is studied by means of extreme value theory.During the study period,the VaR of daily log returns of Jingdong stock is higher than that of Alibaba stock corresponding to different tail probability,respectively;to the seasonal effect,the VaR of the four quarters from high to low is Q3,Q2,Q1,Q4 for the daily log returns of Jingdong stock,to Alibaba stock is Q3,Q4,Q1,Q2.Although the two companies are both China’s electronic commercial enterprise,but the management pattern,management pattern,marketing pattern,scope of business,platform,data management,staff management and other aspects are different,these are the main cause of the above results.
作者
张新艳
ZHANG Xin-yan(Department of Statistics and Mathematics,Inner Mongolia University of Finance and Economics,Hohhot 010070,China)
出处
《数学的实践与认识》
北大核心
2020年第12期10-21,共12页
Mathematics in Practice and Theory
基金
国家社会科学基金教育学课题(BMA180038)。
