中国股票市场中收益与风险关系及其国际比较  

International Comparison on the Relationship Between Stock Price Returns and Volatility

作　　者：禹敏[1] 陈收[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《系统工程》2007年第1期94-101,共8页Systems Engineering

基　　金：国家社会科学基金资助项目(05BJY010);教育部博士点基金资助项目(20030532012)

摘　　要：利用ARCH-M族模型来拟合中国股市和成熟证券市场的收益序列,以揭示股票市场中投资收益与时变风险的关系,并在ARCH-M族模型的范畴内,研究确定了国内外证券市场中时变风险的最佳测度方式。本文通过建模,对中国股市和成熟市场的风险补偿系数以及投资者的风险承受能力进行了比较研究。The article used ARCH-M models to fit stock index returns of China＇s stock market and international mature markets. It tried to reveal the relationship between stock price returns and time-varying volatility. Then it analyzed the best measurement of time-varying risk in the category of ARCH-M models. This paper also gave a comparative study of risk premium coefficients and investors＇ bearing capability of risk between China＇s stock market and international mature market.

关 键 词：股指收益 ARCH-M族模型 时变风险 风险补偿 

分 类 号：F830[经济管理—金融学]