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金融市场波动相关性的理论解释 被引量:1

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摘要 波动相关性是金融市场风险管理的核心。文章从宏观经济学、行为金融学、市场微观结构三个视角全面分析了金融市场波动相关性的成因,涵盖市场价格的长、中、短期变化,力图从宏观、中观、微观三个层面描绘出金融市场波动相关的全景视图,为系统解释波动相关性的形成机理提供理论支持。
作者 董兵兵
出处 《现代管理科学》 CSSCI 2012年第2期54-56,共3页 Modern Management Science
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参考文献3

  • 1Masson P., Contagion: monsoonal effects, spillovers and jumps between multiple equi- libria, IMF Working Paper, 1999.
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  • 1裴平,张谊浩.中国股票投资者认知偏差的实证检验[J].管理世界,2004,20(12):12-22. 被引量:31
  • 2Baker,M.,J.Stein,J.Wurgler."When does the Market Matter?Stock Prices and the Investment of Equity Dependent Firms"[]..2001
  • 3Barberis N,Shleifer A,Vishny R.A Model of Investor Sentiment[].The Journal of Finance.1998
  • 4Daniel KD,Hirshleifer D,Subrahmanyam A.Investor psychology and security market under-and overreactions[].The Journal of Finance.1998
  • 5Hirshleifer,David.Investor Psychology and Asset Pricing[].Journal of Finance The.2001
  • 6Odean T.Are investors reluctant to Realize their losses?[].Journal of Finance The.1998
  • 7Simon HA.A Behavioral Model of Rational Choice[].The Quarterly Journal of Economics.1995
  • 8Baker,M.,J.Stein,J.Wurgler."When does the Market Matter?Stock Prices and the Investment of Equity Dependent Firms"[]..2001
  • 9Barberis N,Shleifer A,Vishny R.A Model of Investor Sentiment[].The Journal of Finance.1998
  • 10Daniel KD,Hirshleifer D,Subrahmanyam A.Investor psychology and security market under-and overreactions[].The Journal of Finance.1998

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