基于深圳成指的股票投资收益实证研究  

Empirical Study on Stock Investment Income based on Shenzhen Constituent Index

作　　者：宋仁霞[1] 

机构地区：[1]西安交通大学经济与金融学院,西安710061

出　　处：《广西财经学院学报》2008年第5期58-63,共6页Journal of Guangxi University of Finance and Economics

摘　　要：将股票交易的每个日期看作一次事件的发生,该事件服从泊松过程,将每个交易日的股指收益看作独立同分布的随机变量,从而股指累计收益服从复合泊松过程,利用复合泊松过程基于深圳成指收益数据研究股票市场投资累计收益与投资累计时期的关系。Regarding each stock transaction date as an event, this event obeys the Poisson Process. Regarding the stock-index income of each trading day as an independent identically- distributed random variable, the stock- index accumulated income obeys the Compound Poisson Process. The writer in this paper used Compound Poisson Process to study the relations between the investment accumulated income and the investment accumulated time in stock market based on Shenzhen constituent index income data.

关 键 词：股指日收益率 投资累计收益 投资累计时期 复合泊松过程 

分 类 号：F830.91[经济管理—金融学]