上证指数的时变波动特征:行为指标和三个假说  

Time Varying Volatility Features of Shanghai Composite Index: Behavioral Proxy and Three Conjectures

作　　者：李自然[1] 杨如彦[1] 

机构地区：[1]中国科学院研究生院管理学院,北京100080

出　　处：《科学技术与工程》2006年第9期1216-1225,共10页Science Technology and Engineering

基　　金：国家自然科学基金(70473085);中国科学院研究生院管理学院虚拟经济研究中心资助

摘　　要：运用上海股市日间收益率统计特征的周期性特点,把上证综指的考察区间分为两大上升周期和两大调整周期,用CGARCH模型比较了每个周期条件方差的时变性、集聚性和序列相关性特点,发现投资人情绪对股指的影响具有一定的规律。同时,针对波浪形成和投资者行为之间的关系,对周期转折前的偏度特征提出了三个假说,并通过小周期样本的统计特征来示例印证。The volatility dynamics and asymmetry in return distribution in the Chinese stock market are investigated. The whole sample period is divided into four regimes：two bears and two bulls, and each are examined by CGARCH models. The empirical results reflect how the volatility features evolve over time and capture the commonness and difference between bears and bulls. The asymmetry at turn of the index trend is examined, and three hypotheses are put forward to reflect the relationship between investor sentiment and market trend.

关 键 词：分布 波动 偏度 投资者情绪 

分 类 号：F019.3[经济管理—政治经济学]