证券市场价格行为特征结构的识别检验  

Test for Identification on the Characteristic Structure of Price Behavior of Stock Market

作　　者：刘凤根[1] 张敏[2] 

机构地区：[1]湖南商学院财政金融学院,湖南长沙410205 [2]湖南商学院经济与贸易学院,湖南长沙410205

出　　处：《统计与信息论坛》2009年第8期71-74,共4页Journal of Statistics and Information

基　　金：国家社会科学基金项目<防止资产价格过快上涨和抑制资产泡沫问题研究--基于货币政策调控的理论与实证>(08BJY153)

摘　　要：文章首先用多重双相关检验对上海证券市场的价格行为特征进行了实证检验,结果发现上海证券市场价格呈现出线性和非线性相关性共存的特征,进一步用窗口检验过程对这一行为特征结构进行识别,发现这种相关性特征结构又具有短暂的非稳定性。这种线性和非线性共存的短暂性价格行为特征真实地刻画了我国证券市场价格行为的特征结构。At first, this paper employed the Hinich portmanteau bicorrelation test to reveal the characteristic structure of Shanghai stock market. The econometric results indicate that the price of shanghai stock market co -existed the linear and the nonlinear dependencies. Using the windowed test procedure to identify this characteristic structure, we also find that this characteristic structure is characterized by transient epochs of dependencies. These structure of price behavior of co - existing the linear and the nonlinear dependencies but transient epochs of dependencies are truly characterized the characteristic structure of price behavior of Chinese stock market.

关 键 词：价格行为特征结构 线性相关 非线性相关 短暂性相关 

分 类 号：F830.51[经济管理—金融学]