中国股票市场亏损股价格波动的统计分析

On Statistical Analysis of the Price Fluctuation of Deficit Shares in Chinese Stock Market

亏损股的价格波动是金融理论界和实务界的关注热点之一。将协整模型与ARCH模型和GARCH模型相结合,可探知亏损股板块的价格波动特征;进而采用脉冲响应函数和方差分解法可得知亏损指数波动和市场指数波动的相互冲击效应和相互影响程度。

The price fluctuation of deficit shares is one of the hotspots in the financial theory and business fields . The thesis probes the characteristics of price fluctuation about the plate of deficit shares through combining go-integration model with ARCH and GARCH model, and also studies the mutual pulse effect and impact degree which are brought by the fluctuation of deficit shares index and market index with pulse response function and variance decomposition .