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经过十年的发展 ,我国的股票市场已经走完了西方发达国家上百年的历程 ,现在不论其规模、结构还是对金融衍生工具的要求方面都与十年前不可同日而语了。与此同时我国股票指数的编制却严重滞后 ,一方面 ,现有的四种主要的股价指数不能客观、灵敏反映我国股市价格的变化情况 ;另一方面 ,也不能作为我国未来股指期货合约的标的。鉴于此 ,我们认为 :宜及早编制全国统一的、能作为股指期货合约的标的这样一种新的股价指数 ,并在适当的时候对外发布。一、现有股价指数析评我国现有的股价指数主要有上交所编制的上证综合指数、上证30指数和深交所… 相似文献
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关于股指期货交易中股价指数编制方法的讨论 总被引:2,自引:0,他引:2
我国的股票市场经过近十年的发展日渐成熟 ,对金融衍生工具的要求日益高涨 ,交易品种单一已成为制约我国股票市场进一步发展的障碍。各界人士对尽快开办我国的股票指数期货交易呼声很高 ,市场对此也有现实要求。开办股指期货交易涉及许多方面的问题 ,但合约标的设计是一个关键问题 ,一个合理的能代表股票市场总体变化的股价指数是股票指数交易成功的基本保证。本文只对股指期货交易合约的标的物——股价指数编制中的几个问题作些讨论。我国现有的股价指数主要有上交所编制的上证综合指数、上证 30指数和深交所编制的深圳综合指数、深圳成份… 相似文献
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股价指数的本质功能是用平均值的变化来描述股票市场的动态演变。随着我国证券市场的迅速发展,出现了各种各样的股价指数。其中颇有影响并实时发布的股价指数主要有两类:一是上海证券交易所的上证综合指数和上证30指数;二是深圳证券交易所的深证综合指数和深证成分股指数。本文就上海证券交易所的股价指数进行分析和评价,并辅之以必要的实证分析,最后提出若干建议。 相似文献
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股指期货交易是证券市场的一个重要工具,我国股市的实际情况要求尽快推出这项交易.开设股指交易需要市场、制度、和技术等各方面条件的配合,股指期货合约的合理设计是其中的基础性条件,而期货合约设计中一个重要因素是对交易标的指数的选择.在目前的股票指数中,上证50指数的现有设计使它最适合成为股指期货标的指数,当然它要成为一个理想的金融衍生工具标的物还存在尚待改进之处. 相似文献
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中国股票市场动态有效性分析 总被引:1,自引:1,他引:0
本文对国内有效市场方面的研究进行了总结,并以上海综合指数和深圳综合指数为研究对象,分年度和分时段对上证综合指数和深证综合指数进行了有效性检验,更精细地对中国股市的有效性进行了研究。 相似文献
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股票价格指数是表明股票价格变动的一种统计指数 ,是投资者了解股票市场交易价格的总体变动方向和程度 ,研判股市大势的主要依据 ,同时股价指数也是人们观察、研究有关国家和地区的政治、经济发展趋势 ,制订投资策略的重要参考。因此 ,无论是投资者 ,还是股评人士或经济学家 ,对股价指数都很关注 ,也很敏感。目前 ,我国的股价指数根据所选股票的范围不同 ,可分为综合指数和成份股指数两种形式。综合指数有上证综合指数和深圳综合指数 ,它们的编制对象分别为上海证券交易所和深圳交易所上市的所有股票 ,并均以发行量 (总股本 )为权数进行加权… 相似文献
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多因素统计综合指数编制的新方法 总被引:1,自引:0,他引:1
现行统计学原理教材在综合指数编制方法上存在着缺陷,它只能适应两个因素综合指数的编制,且一个是数量指标,一个是质量指标的情况.超出这种情况,便难以适用.文章提出了一种新的综合指教的编制方法,具有更广泛的适用性. 相似文献
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针对中国缺乏农村失业率统计数据的情况,设计一个能够反映劳动力供需总量失衡和结构失衡的监测体系,该监测体系中既有反映劳动力资源和使用失衡的指标,也有反映劳动力市场供需状况的指标。综合指数合成过程中,在各指标加权之前先对各指标进行了标准化,使各指标量纲相同,实现了监测体系内各指标横向纵向均可比。研究认为:2001—2007年中国的劳动力供需失衡状况在好转;城镇新增劳动力就业越来越困难;劳动力市场供需失衡和劳动力供需结构失衡程度在下降;中国劳动力供需总量失衡比结构失衡更加严重。 相似文献
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To begin with, the paper reassure that the traditional indexes such as Paasche’s index and Fisher’s ideal index all have their own merits and limits, and then the economic interpretation of three kinds of indexes is described. Based on the system analysis, the paper designs a index methodology system. The paper also combines the economic meaning of index with index system, thus build a theoretical background for China’s factor analysis system. 相似文献
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Esmeralda A. Ramalho Joaquim J. S. Ramalho Rui Evangelista 《Statistical Methods and Applications》2017,26(2):317-332
This paper proposes arithmetic and geometric Paasche quality-adjusted price indexes that combine micro data from the base period with macro data on the averages of asset prices and characteristics at the index period. The suggested indexes have two types of advantages relative to traditional Paasche indexes: (i) simplification and cost reduction of data acquisition and manipulation; and (ii) potentially greater efficiency and robustness to sampling problems. A Monte Carlo simulation study and an empirical application concerning the housing market illustrate some of those advantages. 相似文献
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K. S. Banerjee 《Statistical Papers》1983,25(1):143-158
The paper makes a few comments on the characterizations of the log-change index numbers, and then builds up a link between the log-change indexes and the factorial indexes (Stuvel's indexes). It is also suggestedinter alia that log-change index numbers tend to ignore the effect of interaction between price and quantity (consumption) on the expenditure, in contrast to what is admitted by the factorial model. 相似文献
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本文在非线性模型框架下拟合中国主要股价指数的真实数据生成过程,并提出股市泡沫风险识别方法,较Phillips et al.(2011)提出的上确界单位根(SADF)方法具备更好的效果,能够精准预判股市泡沫风险进而为防范化解金融风险的政策措施提供参考。实证检验发现,主要股价指数的波动均存在逻辑平滑转换自回归(LSTAR)模型描述的非线性特征,自推出以来,四大股价指数均存在泡沫风险,上证指数存在六个主要的持续期,深圳成指存在四个主要的持续期,沪深300指数存在两个主要持续期,而创业板指数存在三个持续期。总体来看,创业板指数的泡沫生成时间会先于其它三大指数,可以作为预警中国股票市场泡沫风险的先行指标,且2015年7月之后的中国股票市场并不存在泡沫风险。 相似文献
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This article studies the overlap between the traditional periodical indexes and the newer mega indexes or databases. Some traditional general indexes have 100% overlap with the mega index from the same vendor and about 90% overlap with mega indexes from other vendors. Other traditional and more specialized subject indexes have considerable uniqueness when compared with the newer mega databases. 相似文献
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Xiaotian Chen 《Serials Review》2013,39(4):233-237
AbstractThis article studies the overlap between the traditional periodical indexes and the newer mega indexes or databases. Some traditional general indexes have 100% overlap with the mega index from the same vendor and about 90% overlap with mega indexes from other vendors. Other traditional and more specialized subject indexes have considerable uniqueness when compared with the newer mega databases. 相似文献
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This article investigates the theoretical and empirical properties of a true cost-of-living index under conditions of changing preferences. A family of true indexes is defined based on the notion of the current utility function. A particular index, based on the previous period's utility level, is then defined. Given this definition, a true cost-of-living index is computed based on a quadratic expenditure system estimated with quarterly data from 1960–1981. For empirical purposes, changes in preferences are represented by the linear habit formation hypothesis. This index is then compared with Paasche and Laspeyres indexes. The true cost-of-living index grows somewhat faster than either the Paasche or Laspeyres index. It also displays considerably more variability. 相似文献
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Richard Valliant 《商业与经济统计学杂志》2013,31(2):189-196
Estimators of chain and fixed-base Laspeyres price indexes are studied using the prediction approach to finite population sampling. The estimators include some that are based on those used in several U.S. government index programs and others derived from prediction models. Biases and variances of the estimators are studied for a case in which the reference period index weights are unknown for nonsample items. Under a model for a one-period price change in which items have common within-stratum means, unbiased estimators can be constructed, but under a more general regression model, special sample balance conditions are needed for unbiasedness of those estimators. The theory for the estimators of fixed-base indexes is illustrated in an empirical study using a population of items priced for the U.S. Consumer Price Index. 相似文献