我国股市现状诊断研究  

A Diagnostic Research on the Current Situation of the Stock Market in China

作　　者：刘天[1] 

机构地区：[1]东北财经大学金融学院,辽宁大连116025

出　　处：《唐山学院学报》2013年第6期73-78,共6页Journal of Tangshan University

摘　　要：文章以近3年全球46个主要股市指数为样本,以年收益率为响应变量,以平均日收盘价、平均日收益率等为自变量建立回归模型,利用数据建模诊断方法,根据马氏距离、Cook距离、学生外残差、WK统计量、杠杆值等诊断统计量对数据点是否存在异常进行了检测。结果表明:数据中存在异常的指数都较好地得到定位,未发现中国的3个股市指数处于异常状态,这对于理解中国股市的现状,使得股市更好地服务实体经济有积极意义。In this paper,the author, based on the 46 major stock indexes over the past three years, establishes a regression model with the annualized yield as the response variable, and the average closing price, the average daily yield as the independent variable, and then examines whether the data point is abnormal, on the basis of the Mahalanobis distance , Cook distance, studentized re- sidual, WK statistic, leverage and other diagnostic statistics. The results show that the indexes which are regarded as abnormal have been located accurately and the three indices of China＇s stock market are not founded abnormal, which is significant for the understanding of the stock market and making it better serve the real economy.

关 键 词：中国 股市 现状诊断 

分 类 号：F832.51[经济管理—金融学]