摘要
本文选取沪市股价综合日指数(1999 01 01～2002 12 30)作为样本,根据有效市场理论,利用股指的随机游走过程对上海股市的有效性进行检验,建立ARCH模型验证上海股市的可预测性.实证结果发现,上海股市具有杠杆效应、波动集群性和波动持续性.
We chose the daily composite index of stock prices in Shanghai as the sample, and analyze the stock fluctuate by econometric method. According to the effective market theory, we do inspection on the stock prices by the course that leaves in the trip immediately, and make ARCH model to inspect the estimations. We find that the stock market in Shanghai has the qualifications of leverage, volatility concentration, and lasting fluctuation.
出处
《中央民族大学学报（自然科学版）》
2004年第4期352-356,共5页
Journal of Minzu University of China(Natural Sciences Edition)
