摘要
传统金融理论通常把收益率的方差作为风险的度量指标,并在选择证券组合时假设市场方差为常数。了解理论假设与实际有多大程度的偏差对证券投资管理十分重要,通过对1500个交易日样本的分析发现,观测到的一个一个时段的样本方差的确是波动的,而且波动的程度之大使我们必须正视,而用GARCH模型对未来一小段时间段内的市场收益的方差可以作出令人较为满意的估测。遗憾的是,只能对一小段时间作出有统计意义的估测。这些结果表明中国股市以非理性投资者居多。
We usually take variance as the index of capital market venture, and suppose that the variance of market return is a constant. It is very important to make clear the deviation between reality and theory is in order to manage investment. In this essay, by analyzing 1500-day samples of market index, the author found that the samples' deviation of every interval was volatility and was too targe to be ignored. Robert F. Engle's GARCH Model may lead to a fairly satisfactory estimate, though, it can only predict a very short interval in the futune, which, as a result, indicates that irrational investment constitvte the mainstream of China's stock market.
出处
《商业研究》
北大核心
2003年第3期25-28,共4页
Commercial Research
