股价波动频率结构对投资者信心反应研究——基于EEMD模型的沪市经验解释  

A Study on Investors' Confidence Reaction of Stock Price Fluctuation Frequency Structure——A EEMD Model Explanation Based on Shanghai Stock Market

作　　者：姚卫东[1] 王瑞君[2] 胡啸兵[1] 

机构地区：[1]西安交通大学经济与金融学院 [2]南京大学商学院

出　　处：《价格理论与实践》2016年第7期134-137,共4页Price:Theory & Practice

基　　金：国家社会科学基金重大项目(14ZDA043)

摘　　要：股票价格暴涨暴跌会对国家金融秩序稳定造成严重冲击。本文基于1992年5月22日至2016年6月30日间沪市价格数据样本,引入总体经验模式分解(EEMD)方法,通过结构向量自回归动态分析发现:(1)上证价格波动存在由高频分量、低频分量和趋势项分量组成的复杂的内在频率结构;(2)上证价格异常随机大幅波动由高频分量变动引起,其主要受投资者信心影响;(3)针对价格波动高频分量,加大投资者信心管理,形成合理预期,是当前抑制价格暴涨暴跌、稳定市场运行秩序的有效策略。The stock catastrophe occurred in 2015 arouses wide-spread attention to sharp price volatility stock all over the society with its huge impact on Chinese financial market stability. In this paper, we decompose the Shanghai Composite Index into three parts through EEMD, the fluctuation of stock index can be interpreted as caused by stochastic volatility, market events of fluctuation and the potential trend, excessive volatility in the stock market is mainly caused by the high-frequency component and the low-frequency component. And then we analyze the influence of investor behavior on the volatility of the high-frequency component and the low-frequency component by SVAR model,results shows that the impact of investor behavior on the stock market volatility is reflected mainly in the high-frequency component.

关 键 词：沪市 股价波动 频率结构 投资者信心 行为金融学 

分 类 号：F832.51[经济管理—金融学]