[1]杨 榛,张晓盈,梁一平,等.我国股票市场走势历史类似性的研究[J].金融教育研究,2017,(01):23-30.
　YANG Zhen,ZHANG Xiaoying,LIANG Yiping,et al.Research on the Historical Similarity of the Tendency in Chinese Stock Market[J].,2017,(01):23-30.
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我国股票市场走势历史类似性的研究()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2017年01期
页码:
23-30
栏目:
出版日期:
2017-01-01

文章信息/Info

Title:
Research on the Historical Similarity of the Tendency in Chinese Stock Market
作者:
杨 榛;  张晓盈;  梁一平;  朱 洪
江西师范大学 a.财政金融学院; b.数学与信息科学学院,江西 南昌 330022
Author(s):
YANG Zhen;  ZHANG Xiaoying;  LIANG Yiping;  ZHU Hong
a.School of Finance; b.School of Mathematics and Information Science,Jiangxi Normal University,Nanchang,Jiangxi 330022,China
关键词:
上证综指;  GARCH模型;  ARCH模型;  波动性;  时间序列;  趋势分析
Keywords:
Shanghai composite index;  GARCH model;  ARCH model;  volatility;  time series;  trend analysis
分类号:
F832.5
文献标志码:
A
摘要:
以股票指数为基础计算股市收益率的波动性,是金融学领域时间序列数据研究的关键指标,也是资产配置和国家政策制定的决策依据。因此,通过模型考证股指波动的历史类似性来检验当前中国股市是否逐步符合半强式有效市场具有研究意义。研究发现,2005年1月—2010年10月和2014年1月—2016年3月的上证综指尽管在形态上具有相似性,但2014-2016年股指波动数据的自回归条件异方差性不如之前显著,说明近年来股指波动情况对前期依赖性更小,预测的有效性比之前有所降低,已经不具有历史类似性,表明我国股票市场已逐步符合半强
Abstract:
We calculate the volatility of stock market returns based on the share index; it is the key indicators of time series data study in the field of finance,also the decision basis of the asset allocation and the national policy making.It has research significance to research on historical similarities of fluctuation of stock index by model,it can check whether the current China’s stock market gradually meet half strong type effective market.The research finds that,Shanghai composite index has the similarity in form between January 2005 to October 2010 and January 2014 to March 2016,but the index fluctuation data of autoregressive conditional heteroscedasticity do not have significant difference.It means that the dependence of the stock index volatility to the preceding period is less; the effectiveness of the prediction is reduced than before; and it has no historical similarities.It shows that Chinese stock market has gradually met the characteristics of the half strong type effective market; and the effectiveness of technical analysis will be significantly reduced.In the long term,value investment will be more effective than trend analysis.

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备注/Memo

备注/Memo:
收稿日期:2016-11-21作者简介:杨 榛(1992-),男,江苏东台人,硕士研究生,研究方向为企业会计与财务管理; 张晓盈(1966-),女,黑龙江宝清人,博士,教授,硕士生导师,研究方向为产业经济与金融创新、新能源产业集群; 梁一平(1994-),女,河南新乡人,硕士研究生; 朱 洪(1992-),女,江西南昌人,硕士研究生。
更新日期/Last Update: 1900-01-01