期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

一种股市泡沫检验的方法——期限相关法 被引量：4

A Method of Test for Bubbles:Duration Dependence
下载PDF
导出
摘要 本文介绍了一种基于期限相关 (durationdependence)统计理论的新的泡沫检验方法 ,并应用该方法对我国沪深股市进行了实验检验 。 The paper introduces a new test for bubbles based on the statistical theory of duration dependence, and it is applied to weekly stock index returns of china. Consistent with the existence of bubbles, evidence of duration dependence is found.
作者 黄兴 张维 牛淑珍
机构地区 广东证券公司博士后科研工作站 天津大学管理学院 石家庄经济学院
出处 《管理工程学报》 CSSCI 2003年第3期96-98,共3页 Journal of Industrial Engineering and Engineering Management
关键词 股票市场 泡沫 期限相关 检验 stock market bubbles duration dependence test
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献8

  • 1Blanchard, O. J., and M. W. Watson. Bubbles, Rational expectation,and Financial Markets[ M ]. In Crisis in the Economic and financial system, P. Wachtel, ed. Lexington, MA : Lexington Books, 1982.
  • 2Diba, Behzad T., and Herschel I. Grossman. Explosive Rational Bubbles in Stock Price? [J]. American Economic Review, 1987,78: 520-530.
  • 3Evans, George W. Pitfalls in Testing for Explosive Bubbles in Asset price[ J ]. American Economic Review, 1991,81 (4) : 922 - 930.
  • 4Grant McQueen and Steven Thorley. Bubbles, Stock Returns, a dn Duration Dependence [ J ]. Journal of Financial and Qnantitative Analysis, 1994,29 : 379 - 401.
  • 5Shiller, R. J. Do Stock Prices Move Too Much to be Justified by Subsquent Changes in Dividends? [ J ]. American Economic Review,1981,72:421 - 436.
  • 6Van Norden, Simon. Regime Switching as a Test for Exchange Rate Bubbles[ J ]. Journal of Applied Econometrics, 1996,11 : 219 - 251.
  • 7Van Norden, Simon, and Robert Vigfusson. Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles? [ M ]. Working Paper, Bank of Canada, 1966.
  • 8West, K. D. A Specification Test for Speculative Bubbles [ J ]. Quarterly Journal of Ceonomics, 1987,102:553 - 580.

同被引文献62

  • 1陈永清,韩德宗.金融资产泡沫实证研究[J].经济理论与经济管理,2002,22(10):38-44. 被引量：6
  • 2刘熀松.股票内在投资价值理论与中国股市泡沫问题[J].经济研究,2005,40(2):45-53. 被引量：114
  • 3崔畅,刘金全.我国股市投机泡沫分析——基于非线性协调整关系的实证检验[J].财经科学,2006(11):24-30. 被引量：23
  • 4徐爱农.中国股票市场泡沫测度及其合理性研究[J].财经理论与实践,2007,28(1):34-39. 被引量：31
  • 5Grant McQueen and Steven Thorley. Bubbles , Stock Returns, and Duration Dependence [ J ] . Journal of Financial and Qnantitative Analysis , 1994 , 29.
  • 6Blanchard , O. J . , and M. W. Watson. Bubbles , Rational expectation , and Financial Markets. In Crisis in the Economic and financial system, P. Wachtel , ed. lexington, MA: Lexington Books, 1982.
  • 7Kalok Chan, Grant McQueen , Steven Thorley . Are there rational speculative bubbles m Asian stock markets? [J] . Pacific - Basin Finance Journal. 1998. 6.
  • 8John M. Maheu; Thomas H. McCurdy. Identifying Bull and Bear Markets in Stock Returns [ J ] Journal of Business & Economic Statistics, Vol. 18, No. 1. (Jan. 2000).
  • 9Benjamas Jirasakuldech, Riza Emekter, Peter Went . Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies. [J] Applied Financial Economics. 2006, 16.
  • 10LeRoy, S. F. , R. D. Porter. The present-value relation: tests based on implied variance bounds[J]. Econometrica, 1981,49 (3) :555--574.

引证文献4

二级引证文献16

管理工程学报
2003年 第3期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部