| 股权分置改革中上证指数的波动——基于ARCH类模型的比较分析 |
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| 引用本文： | 刘明,王仁曾. 股权分置改革中上证指数的波动——基于ARCH类模型的比较分析[J]. 统计与信息论坛, 2006, 21(6): 89-92 |
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| 作者姓名： | 刘明 王仁曾 |
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| 作者单位： | 兰州商学院,统计学院,甘肃,兰州,730020 |
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| 摘 要： | 股权分置改革中股市的波动性受到各方因素的影响。文章运用ARCH类模型,对股权分置改革中的上证指数进行分时段拟合分析,发现改革前的市场有更大的波动性并存在反向杠杆效应,且不及股改后的市场有效率。
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| 关 键 词： | 股权分置改革 ARCH效应 波动性 效率 |
| 文章编号： | 1007-3116(2006)06-0089-04 |
| 修稿时间： | 2006-04-25 |
Volatility Analysis on the Shanghai Security Index in the Stock Rights Splitting Reform |
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| LIU Ming,WANG Ren-zeng. Volatility Analysis on the Shanghai Security Index in the Stock Rights Splitting Reform[J]. Statistics & Information Tribune, 2006, 21(6): 89-92 |
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| Authors: | LIU Ming WANG Ren-zeng |
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| Abstract: | In the stock rights splitting reform,stock market's undulation receives all quarterly influence from seasonal factors.The article applies ARCH models to the Shanghai Security Index in the stock rights splitting reform.The analysis is done for different time intervals.There are some interesting findings that before the reform the market has a bigger undulation and have the reverse lever effect.And it is inferior to the market after reform. |
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| Keywords: | stock rights splitting reform ARCH effect volatility efficiency |
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