证券市场危机预警研究  

A Study on the Crisis Early Warning of Security Market

作　　者：曾志坚[1] 陈川[1] 龙瑞[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《湖南大学学报（社会科学版）》2011年第5期59-63,共5页Journal of Hunan University(Social Sciences)

基　　金：湖南省社会科学基金项目(09YBA037);教育部人文社会科学规划青年基金项目(09YJC630063);国家软科学研究计划项目(2010GXS5B141)

摘　　要：证券市场危机的爆发是系统内外诸多因素共同作用的结果。界定证券市场危机状态的临界状态,选择宏观、微观和市场三层次指标,利用Logistic回归方法构建证券市场危机预警模型。对中国证券市场进行实证研究,发现模型能够比较准确地预测证券市场危机发生的概率,及时迅捷地释放预警信号。The eruption of the security market＇s crisis is the result of the various influences exerted by the systematic and non--systematic factors. On the basis of the definition of the security market＇s crisis critical state, a security market＇s crisis prediction model is constructed with the macro, market, and micro level indicators by logistic regression. The empirical research on China＇s security market finds that the model can precisely predict the crisis and timely release the crisis signal of security market.

关 键 词：证券市场 危机预警 LOGISTIC回归 

分 类 号：F832.59[经济管理—金融学]