基于面板数据均值变点的股市收益率分析  

Analysis of stock returns in stock market based on mean breaks of panel data

作　　者：胡俊迎 谭常春[1] 张雪莲[1] 

机构地区：[1]合肥工业大学数学学院,安徽合肥230009

出　　处：《合肥工业大学学报（自然科学版）》2017年第11期1577-1580,共4页Journal of Hefei University of Technology：Natural Science

基　　金：中央高校基本科研业务费专项资助项目(JS2016HGJ0019);全国统计科研计划重点资助项目(2012LZ009);安徽省自然科学重点资助项目(KJ2017A912)

摘　　要：随着经济全球化的迅速发展,各国股市间日指数的结构变化存在明显的联动性。文章针对面板数据,采取基于最小二乘法的均值共同变点检验统计量,利用Monte Carlo模拟出检验统计量的临界值,探讨面板数据均值共同变点的存在性及估计,并对Nasdaq、Xetra DAX、Hang Seng等六大股市的日收益率进行实证分析,分析结果说明了基于均值共同变点理论寻找变点的方法是有效的。With the rapid development of economic globalization ,there is an obvious co-movement on structural changes of stock market daily index among stock markets .In this paper ,taking a test sta-tistic based on the least square method for the mean common breaks of panel data ,and using the criti-cal value of the test statistic simulated by Monte Carlo method ,the existence and estimator of the mean common breaks of panel data are explored .Finally ,the daily return rate of six stock indices such as Nasdaq ,Xetra DAX ,Hang Seng and so on is analyzed to show the effectiveness of the presen-ted approach .

关 键 词：面板数据 共同变点 股市收益率 

分 类 号：O212.7[理学—概率论与数理统计]