一种拓展的二元混合分布模型及其在中国股票市场的实证研究

本文对二元混合分布模型进行了拓展,提出了一种能捕捉非对称效应的二元混合分布模型,并利用该模型对中国股票市场进行了实证研究。研究结果显示,1997年之前,在中国股市中相同强度的冲击,收益为正的冲击与交易量放量的冲击对波动的冲击分别大于收益为负的冲击和交易量缩量的冲击;而1997年后情况则相反。另外,本文的实证结果还表明,二元混合分布模型能够捕捉收益波动的持续性特征。

Study of An Extended Bivariate Mixture Distribution Model with Application to China's Stock Markets

This paper has extended BMD model.An model is proposed which can catch the asymmetry information.Model and the extended one are used in the empirical studies of China's stock markets.The results indicate that the impact of negative returns shock and the shock of trading volume expanded on volatility is larger than that for positive returns shock and the shock of trading volume shrank of the same magnitude respectively before 1997 in China's Stock Markets; but after 1997,it was just the opposite.The results also show that the BMD model can capture the persistence of return volatility.