沪深股票市场历次投资主线的生命周期实证研究  

Empirical Analysis of the Lifecycle of All Pervious Main Lines of Investment in Shanghai and Shenzhen Stock Markets

作　　者：鹿长余[1] 

机构地区：[1]上海金融学院金融研究中心,上海201209

出　　处：《上海金融学院学报》2007年第2期33-36,共4页Journal of Shanhai Finance University

基　　金：国家自然科学基金(10471043)。

摘　　要：国内外的许多学者对股票指数的收益率组成的时间序列进行研究发现,无论是中国的股票市场还是发达国家的成熟证券市场,其指数波动呈现一定的周期性。所不同的是,周期长度不同,例如,美国股票市场平均循环周期比我国股市要长很多。本文用实证分析的方法探讨了中国证券市场的指数波动循环周期中的上涨周期,实证结果表明在每一次循环周期中,其投资主线的上涨周期平均时间为17个月,这对投资者的实际操作有重要的参考价值。After their studies on time series composed of by earnings yieM of share indexes, many scholars both here and abroad find that the index fluctuation shows itself in periodicity to some extent both in the securities markets of China and in the mature securities markets of developed countries. The difference lies in the cycle length. For example, the average cycle of American stock markets is much longer than that of China＇s. In this paper, we explore the rising period of index fluctuation cycle of Chinese securities markets with empirical method. The result indicates that in every cycle, the mean time of the rising period of main investment fine is seventeen months, which has important reference value to the actual operations of investors.

关 键 词：证券市场 指数 收益率 循环周期 

分 类 号：F840.66[经济管理—保险]