摘要
以上证指数和深成指的3种不同时间跨度的收益率序列——日收益率、周收益、月收益率为研究对象,对比分析它们分布情况、厚尾性、ARCH效应以及自相关性等特征的变化。结果表明,随着时间跨度的不断增加,上海股市和深圳股市的收益率序列逐步趋于正态分布,序列自相关性增强并存在长期相关性,波动集群性逐渐消失,波动持续性和杠杆效应不断减弱,风险溢价的敏感性不断增强,这些相同的变化趋势反映出两地股市有很强的联动性。同时,两地股市指数收益率厚尾性变化有明显区别,随时间跨度的增加,上证指数收益率的左尾变瘦,右尾变胖,深成指收益率的左右尾都逐渐变瘦,这种不同的变化趋势反映出两地股市的差异性。
With different time span including day, week, this paper selects six kinds of index returns month, which come from Shanghai Stock Exchang Composite Index and Shenzhen Stock Exchange Component Index. Then it analyses the characters of returns such as distribution, fat tail,ARCH effect, autocorrelation, and compares the changes of these characters. The conclusion is that, with the time span continuing to increase, distribution of the returns of Shanghai and Shenzhen gradually becomes normal; the autocorrelation of returns gradually enhances and the long-range correlation exists; volatility clustering gradually disappears, the impact effect and leverage effect reduce; the sensitivity of risk premium continues to grow; these changes reflect a strong linkage between the two stock market. Meanwhile, the character of fat tail in the two stock markets has a significant difference. With the time span continuing to increase, the left tail of Shanghai Stock Exchang Composite Index returns become thinner and the right tail becomes fatter, but the two tails of Shenzhen Stock Exchange Component Index returns all become thinner, which reflects the difference of the two stock markets.
出处
《系统管理学报》
北大核心
2008年第4期455-462,466,共9页
Journal of Systems & Management
