基于CUSUM方法的中国股市波动变结构检验  

Testing structural changes in the Chinese stock market by CUSUM

作　　者：李汉东 彭圣 LI Handong;PENG Sheng(School of Systems Science,Beijing Normal University,100875,Beijing,China;School of Government,Beijing Normal University,100875,Beijing,China)

机构地区：[1]北京师范大学系统科学学院,北京100875 [2]北京师范大学政府管理学院,北京100875

出　　处：《北京师范大学学报（自然科学版）》2018年第4期480-485,共6页Journal of Beijing Normal University(Natural Science)

基　　金：国家自然科学基金资助项目(71671017);中央高校基本科研业务费专项基金资助项目(SKZZY2015091)

摘　　要：利用CUSUM方法对中国沪深股票市场的波动变结构现象进行了研究.实证结果表明:1)上证综指和深证综指都存在明显的波动变结构现象,并且二者的波动变结构具有一致性和相关性;2)上证综指和深证综指在全样本区间都存在异方差效应且具有显著的波动聚集性,但在去除变结构效应后,二者均没有异方差效应.这表明变结构现象很可能是导致收益率序列产生异方差的原因.CUSUM method was used to study variance structure change of the Chinese stock markets.The two indices showed obvious volatility structure change when return series of Shanghai composite index and Shenzhen composite index from 2006 to 2016 were analyzed.All return series containing no volatility structure change were then tested,and no heteroscedasticity was found to exist.The results show that the volatility structure change may therefore lead to heteroscedasticity of the return series.

关 键 词：上证综指 深证综指 变结构 异方差 GARCH效应 

分 类 号：F064.1[经济管理—政治经济学]