上证综指波动周期研究  

Study on the Fluctuation Cycle of Shanghai Composite Index

作　　者：甘艳婧 徐波[1] GAN Yanjing;XU Bo(School of Economics and Management,Northwest University,Shannxi XV an 710127)

机构地区：[1]西北大学经济管理学院

出　　处：《西部金融》2019年第11期29-34,41,共7页West China Finance

摘　　要：研究股市波动状态对于更加深入地了解市场运行规律、帮助投资者科学投资有着重要的现实意义。本文分别利用修正后的转折点确认法和Markov区制转换模型,对我国1997年1月-2019年8月上证综合指数月度数据进行了拟合,总结出中国股市的波动特征。实证结果表明,通过修正后的转折点确认法,我国股市呈现出十个短周期;引入Markov区制转换模型后,我国股市被划分为四个长周期;两种方法的划分结果都符合股市价格的基本态势;同时我国股市波动表现出尖峰厚尾、熊长牛短和急涨慢跌等特征。The research on the cyclical fluctuation of the stock market is of great practical significance for the further understanding of the market operation rules and helping investors to invest scientifically.In this paper,the monthly data of Shanghai Composite Index from January 1997 to August 2019 are fitted by using the revised turning point confirmation method and Markov Regime Switching Model respectively,and the volatility characteristics of China’s stock market are summarized.The empirical results show that China’s stock market is divided into ten short cycles by the revised turning point confirmation method.After introducing Markov Regime Switching Model,the stock market is divided into four long cycles.The results of the two methods are in line with the basic trend of stock market prices,and reflect the characteristics of the volatility of China’s stock market,such as leptokurtosis and fat-tail,long bear and short bull,sharp rise and slow fall.

关 键 词：股市周期 上证综指 转折点确认法 MARKOV区制转换 

分 类 号：F830.91[经济管理—金融学]