摘要
针对金融危机对股市收益率分布的影响问题,对比研究金融危机前及期间中国股市收益率分布特点,揭示了中国股市在国际金融危机背景下新的收益风险特征,实证结果表明:金融危机期间中国股市收益率分布具有明显的负偏度和高峰度特征,收益率标准差期限结构明显高于理论期限结构,且随期限增长差异有扩大的趋势。
Correctly understanding the actual return distribution of stock markets is an important premise for efficient investment decision. The global financial crisis has continued since 2007 and had a far - reaching influence on each nation＇s financial markets, and therefore it was significant to study the characteristics of return distribution of stock markets during the crisis. The paper contrasted the characteristics of return distribution of Chinese stock markets before and during the financial crisis, and revealed the novel return risk features of Chinese stock markets during the crisis. The empirical results showed that the return distribution of Chinese stock markets had obviously negative skewness and high positive kurtosis, the term structure of standard deviation of actual return rate was significantly higher than that of the theoretical return rate, and the difference had an upward trend with the extending term,
出处
《武汉理工大学学报（信息与管理工程版）》
CAS
2013年第2期253-256,共4页
Journal of Wuhan University of Technology：Information & Management Engineering
基金
国家自然科学基金资助项目(91024020)
湖北省自然科学基金资助项目(2010CDB02103)
湖北省科技厅软科学研究专项基金资助项目(2010DHA018)
关键词
国际金融危机
中国股市
收益率分布
标准差期限结构
global financial crisis
Chinese stock markets
return distribution
term structure of the standard deviation
