| 我国股市的均值回复性与参数价值反转投资策略——基于上海股票市场的经验分析 |
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| 引用本文： | 彭方平.我国股市的均值回复性与参数价值反转投资策略——基于上海股票市场的经验分析[J].管理工程学报,2008,22(1):125-127. |
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| 作者姓名： | 彭方平 |
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| 作者单位： | 中山大学管理学院,广东,广州,510275 |
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| 摘 要： | 本文运用似无关回归(SUR)和Bootstrap仿真技术研究发现我国上海股票市场股票价格具有显著的均值回复性.基于股票价格均值回复性的参数价值反转投资策略能获得较高的季度收益率,本文研究方法与结论对当前机构投资者有较强的参考意义.
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| 关 键 词： | 似无关回归 均值回复 仿真 |
| 文章编号： | 1004-6062(2008)01-0125-03 |
| 修稿时间： | 2006年3月20日 |
Mean Reversion of Chinese Stock Market and Parametric Contrarian Investment Strategies——An Empirical Study on Shanghai Stock Market |
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| PENG Fang-ping.Mean Reversion of Chinese Stock Market and Parametric Contrarian Investment Strategies——An Empirical Study on Shanghai Stock Market[J].Journal of Industrial Engineering and Engineering Management,2008,22(1):125-127. |
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| Authors: | PENG Fang-ping |
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| Abstract: | This paper applies the techniques of seemingly unrelated regression and bootstrap simulation to do an empirical study and finds strong evidence of mean reversion in Shanghai stock market.This paper finds that parametric contrarian investment strategies that exploit mean reversion can yield higher returns.Methodologies applied and conclusions in this paper can be regarded as reference for present institutional investors. |
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| Keywords: | seemingly unrelated regression mean reversion simulation |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
