中美股市的对比分析  

A Comparative Analysis of Chinese and American Stock Markets

作　　者：王伟杰 陶沙[1] 侯为波[1] WANG Weijie;TAO Sha;HOU Weibo(School of Mathematical Sciences,Huaibei Normal University,235000,Huaibei,Anhui,China)

机构地区：[1]淮北师范大学数学科学学院,安徽淮北235000

出　　处：《淮北师范大学学报（自然科学版）》2020年第4期7-15,共9页Journal of Huaibei Normal University：Natural Sciences

基　　金：安徽高校自然科学基金项目(KJ2018A0674)。

摘　　要：文章借助于VaR方法和GARCH族模型,对中美股市进行对比分析.选取上证综指和标准普尔500指数的日收盘价数据,对这2个指数的日对数收益率序列进行基本的统计分析,验证其收益率序列具有尖峰厚尾性与ARCH效应,因此在这2个市场选用GARCH族模型是适合的.使用GARCH族模型在高斯分布和学生t分布下计算其相应的VaR值,对中美股市风险进行对比分析.实证结果显示,中国股市比美国股市的波动性低,更适用于投资.With the help of the VaR method and the GARCH group model,this paper makes a comparative analysis of Chinese and American stock markets.Firstly,the daily closing price data of the Shanghai compos⁃ite index and the standard&Poor′s 500 index,and performs a basic statistical analysis of the daily logarith⁃mic return series of these two indexes to verify that the return series has Peak and thick tail and ARCH ef⁃fect,so it is suitable to choose GARCH group model in these two markets.Secondly,the GARCH group mod⁃el is used to calculate the corresponding VaR values under the Gaussian distribution and student′s t distribu⁃tion,and a comparative analysis of the risks of the Chinese and American stock markets is conducted.Empir⁃ical results show that the Chinese stock market is less volatile than the US stock market and is more suitable for investment.

关 键 词：VAR方法 GARCH族模型 高斯分布 学生t分布 中国股市 美国股市 

分 类 号：F831.5[经济管理—金融学]