股票价格指数波动实证研究  

Empirical Research on Stock Price Index Fluctuation

作　　者：贺红波[1] 龙顺潮[2] 

机构地区：[1]湘潭大学商学院,湖南湘潭411105 [2]湘潭大学数学系,湖南湘潭411105

出　　处：《湘潭大学自然科学学报》2004年第4期21-26,共6页Natural Science Journal of Xiangtan University

基　　金：教育部人文社科规划项目 (0 2JA790 0 49) ;湖南省自然科学基金资助项目 (0 4JJ30 37) ;湖南省教育厅优秀青年项目(0 4B0 5 7)

摘　　要：采用Granger因果分析和单位根检验 ,对股票各价格之间的波动进行因果关系分析 ,并建立回归方程 ,得出各价格波动的具体定量关系 .然后采用谱分析技术 ,得出各价格的具体周期 ,并剔除关键诱因的影响后对回归残差进行功频谱分析 ,进一步对回归方程进行检验 .实证结果表明 :开盘价的波动主要是由最高价、最低价、收盘价的波动引起的 ,与成交量及成交额的波动没有关系 ;In this paper, by using the method of Granger Test and Unit-Root Test to analyze the fluctuation of the Stock Price Index with its Regression Equation, the authors draw the conclusion on quantitative relationship of the fluctuation on each price ; and get the specific cycle by means of Spectrum Analysis. It has verified the Regression Equation by the analysis of Power-frequency Spectrum of regression on residual value after removing the influence of the key factors. Results of the demonstration shows that the fluctuation of its Opening Price is mainly due to the Highest Possible Price & the Lowest Price as well as the Closing Price, and has nothing to do with its Volume of Business; The fluctuation of the Highest Possible Price and the Lowest Price is caused by the fluction of closing price.

关 键 词：GRANGER因果分析 功频谱 周期 

分 类 号：F224[经济管理—国民经济]