VaR理论及其在股市周末效应中的应用  

The Theory of VaR and its Applications in Weekend Effects on Stock Returns

作　　者：谷伟[1] 万建平[1] 王丽丽[1] 

机构地区：[1]华中科技大学数学系,湖北武汉430074

出　　处：《应用数学》2004年第S1期75-79,共5页Mathematica Applicata

摘　　要：本文首先讨论了VaR的教育处方法 ,然后通过实证分析沪市综合指数周一至周五的收益率分布 ,并分别利用历史模拟法、风险矩阵法、t分布法计算出周一至周五相应的VaR值 ,从而得出上海股市在“二、五”效应的结论 ,并发现利用VaR理论在我国的股票市场风险投资中可以很好的度量风险和规避风险 .This article firstly talks about the computational methods of VaR.Then through practical prove analyzing the returns of distribution of Shanghai comprehensive index from Monday to Friday,and computing the corresponding value of VaR from Monday to Friday by Historical Simulation method、Riskmetrics method and Student distribution method respectively.At last,conclusion is drawn that there is “Tuesday-Friday” effect in Shanghai market,and find that by using the theory of VaR we can measure risk and avoid risk better in the stock market risk investment in our country.

关 键 词：风险价值 周末效应 峰度 偏度 

分 类 号：F830.9[经济管理—金融学]