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1.
上海股票市场弱式有效性实证分析   总被引:7,自引:1,他引:6  
运用现代投资分析理论与实证研究方法,对上海股票市场从1991年初~1996年底的市场弱式有效性进行了全面综合分析.对收益率正态分布检验的研究结果表明,上海股票市场收益率自1993年始已逐步趋向正态分布;对股价收益率序列相关检验的结果则显示,上海股票市场在1991年初~1992年底存在秩相关性,而自1993年初则开始呈现市场弱式有效特征.  相似文献   

2.
本文借鉴GCAPM模型对我国上海股票市场进行羊群行为检测:如果投资者对某一资产组合存在羊群行为,那么该组合的预期收益率将于市场上的平均预期收益率呈现非线性关系.实证检验结果表明我国上海股票市场中大部分的资产组合存在显著的羊群行为.  相似文献   

3.
资本资产定价模型(CAPM)主要研究证券市场中资产的预期收益率与风险资产之间的关系,以及均衡价格是如何形成的,它刻画了均衡状态下资产的预期收益率及其与市场风险之间的关系.本文首先阐述CAPM的内涵,β系数与系统风险、非系统风险的关系;随后,通过引用CAPM模型在国内外股票市场的大量实证研究结果,阐述CAPM及其β系数与市场风险的关系,以及CAPM对中国股票市场风险收益均衡关系的解释性和有效性.  相似文献   

4.
资本资产定价模型的研究   总被引:1,自引:0,他引:1  
资本资产定价模型(CAPM)主要研究证券市场中资产的预期收益率与风险资产之间的关系,以及均衡价格是如何形成的,它刻画了均衡状态下资产的预期收益率及其与市场风险之间的关系.本文首先阐述CAPM的內涵,β系数与系统风险、非系统风险的关系;随后,通过引用CAPM模型在国内外股票市场的大量实证研究结果,阐述CAPM及其β系数与市场风险的关系,以及CAPM对中国股票市场风险收益均衡关系的解释性和有效性.  相似文献   

5.
股票系统风险衡量指标β系数及其测定方法   总被引:1,自引:0,他引:1  
探讨了普通股票投资中系统风险衡量指标β系数的含义,通过与CAPM模型的对比,阐明β系数的测定方法应以收益率标准差(或协方差)为理论基础。测定了上海证券交易所6种挂牌股票的β值,指出我国上市股票β值主要取决于该股票流通量的大小,而且与政策因素有着密切的关系,体现了收益与风险的对等。  相似文献   

6.
应用赫斯特提出的重标极差分析法(Rescaled Range Analysis)即R/S分析法,研究金融时间序列,通过对上海股票市场综合指数日收益数据的实证分析,认为上海股票市场具有分形结构,收益率时间序列是有偏的随机游走.  相似文献   

7.
中国股票市场信息传递效率实证分析   总被引:1,自引:0,他引:1  
通过对交易时间在交易时间效应及周日效应的分析,对中国股票市场信息传递效率的问题展开实证研究,对上海、深圳股票市场自1990年底开市至1998年底以来综合指数的分析表明:上海股票市场非交易时间的收益率显著高于交易时间的收益率,上海股市与深圳股市存在显著的周日效益,周五开盘到收盘的收益率Roc明显高于一周中的其他交易日。  相似文献   

8.
将马尔可夫链与资产前沿组合有效结合,以福建板块的5支股票数据做为样本,运用马尔可夫链和自相关性来预测股票在将来的收益率及其分布情况.根据马可维茨理论得出股票市场的前沿组合,对中国股票市场的实例进行实证分析.在择优标准的选取过程中,单位收益的风险最小或是单位风险的收益最大只是一种标准,其选择的方法可以依据相关理论进行选择.  相似文献   

9.
雷帅  吕亚楠 《创新科技》2014,(12):42-44
CAPM模型是现代重要的金融理论,早期的实证检验显示了该理论的成功之处,但从20世纪60年代早期开始,CAPM模型在解释股票市场横截面数据收益率时屡屡失败,金融学家开始关注由此产生的市场“异象”。本文正是基于我国股票市场的规模效应和价值溢价现象来验证CAPM模型和Fama-French三因素模型对于国内股票收益率的影响。  相似文献   

10.
资本资产的定价,尤其是资本资产收益率的确定,是金融理论研究过程中的核心问题之一。文章通过对上海证券市场资本资产定价的实证研究,表明中国证券市场还远未形成完整、有效和规范的风险-收益权衡的投资机制。  相似文献   

11.
Language markedness is a common phenomenon in languages, and is reflected from hearing, vision and sense, i.e. the variation in the three aspects such as phonology, morphology and semantics. This paper focuses on the interpretation of markedness in language use following the three perspectives, i.e. pragmatic interpretation, psychological interpretation and cognitive interpretation, with an aim to define the function of markedness.  相似文献   

12.
何延凌 《科技信息》2008,(4):258-258
Language is a means of verbal communication. People use language to communicate with each other. In the society, no two speakers are exactly alike in the way of speaking. Some differences are due to age, gender, statue and personality. Above all, gender is one of the obvious reasons. The writer of this paper tries to describe the features of women's language from these perspectives: pronunciation, intonation, diction, subjects, grammar and discourse. From the discussion of the features of women's language, more attention should be paid to language use in social context. What's more, the linguistic phenomena in a speaking community can be understood more thoroughly.  相似文献   

13.
There are numerous geometric objects stored in the spatial databases. An importance function in a spatial database is that users can browse the geometric objects as a map efficiently. Thus the spatial database should display the geometric objects users concern about swiftly onto the display window. This process includes two operations:retrieve data from database and then draw them onto screen. Accordingly, to improve the efficiency, we should try to reduce time of both retrieving object and displaying them. The former can be achieved with the aid of spatial index such as R-tree, the latter require to simplify the objects. Simplification means that objects are shown with sufficient but not with unnecessary detail which depend on the scale of browse. So the major problem is how to retrieve data at different detail level efficiently. This paper introduces the implementation of a multi-scale index in the spatial database SISP (Spatial Information Shared Platform) which is generalized from R-tree. The difference between the generalization and the R-tree lies on two facets: One is that every node and geometric object in the generalization is assigned with a importance value which denote the importance of them, and every vertex in the objects are assigned with a importance value,too. The importance value can be use to decide which data should be retrieve from disk in a query. The other difference is that geometric objects in the generalization are divided into one or more sub-blocks, and vertexes are total ordered by their importance value. With the help of the generalized R-tree, one can easily retrieve data at different detail levels.Some experiments are performed on real-life data to evaluate the performance of solutions that separately use normal spatial index and multi-scale spatial index. The results show that the solution using multi-scale index in SISP is satisfying.  相似文献   

14.
王慧 《科技信息》2008,(10):240-240
Wuthering Heights, Emily Bronte's only novel, was published in December of 1847 under the pseudonym Ellis Bell. The book did not gain immediate success, but it is now thought one of the finest novels in the English language. Catherine is the key character of this masterpiece, because everybody and everything center on her though she had a short life. We can understand this masterpiece better if we know Catherine well.  相似文献   

15.
The Williston Basin is a significant petroleum province, containing oil production zones that include the Middle Cambrian to Lower Ordovician, Upper Ordovician, Middle Devonian, Upper Devonian and Mississippian and within the Jurassic and Cretaceous. The oils of the Williston Basin exhibit a wide range of geochemical characteristics defined as "oil families", although the geochemical signature of the Cambrian Deadwood Formation and Lower Ordovician Winnipeg reservoired oils does not match any "oil family". Despite their close stratigraphic proximity, it is evident that the oils of the Lower Palaeozoic within the Williston Basin are distinct. This suggests the presence of a new "oil family" within the Williston Basin. Diagnostic geochemical signatures occur in the gasoline range chromatograms, within saturate fraction gas chromatograms and biomarker fingerprints. However, some of the established criteria and cross-plots that are currently used to segregate oils into distinct genetic families within the basin do not always meet with success, particularly when applied to the Lower Palaeozoic oils of the Deadwood and Winnipeg Formation.  相似文献   

16.
理论推导与室内实验相结合,建立了低渗透非均质砂岩油藏启动压力梯度确定方法。首先借助油藏流场与电场相似的原理,推导了非均质砂岩油藏启动压力梯度计算公式。其次基于稳定流实验方法,建立了非均质砂岩油藏启动压力梯度测试方法。结果表明:低渗透非均质砂岩油藏的启动压力梯度确定遵循两个等效原则。平面非均质油藏的启动压力梯度等于各级渗透率段的启动压力梯度关于长度的加权平均;纵向非均质油藏的启动压力梯度等于各渗透率层的启动压力梯度关于渗透率与渗流面积乘积的加权平均。研究成果可用于有效指导低渗透非均质砂岩油藏的合理井距确定,促进该类油藏的高效开发。  相似文献   

17.
The discovery of the prolific Ordovician Red River reservoirs in 1995 in southeastern Saskatchewan was the catalyst for extensive exploration activity which resulted in the discovery of more than 15 new Red River pools. The best yields of Red River production to date have been from dolomite reservoirs. Understanding the processes of dolomitization is, therefore, crucial for the prediction of the connectivity, spatial distribution and heterogeneity of dolomite reservoirs.The Red River reservoirs in the Midale area consist of 3~4 thin dolomitized zones, with a total thickness of about 20 m, which occur at the top of the Yeoman Formation. Two types of replacement dolomite were recognized in the Red River reservoir: dolomitized burrow infills and dolomitized host matrix. The spatial distribution of dolomite suggests that burrowing organisms played an important role in facilitating the fluid flow in the backfilled sediments. This resulted in penecontemporaneous dolomitization of burrow infills by normal seawater. The dolomite in the host matrix is interpreted as having occurred at shallow burial by evaporitic seawater during precipitation of Lake Almar anhydrite that immediately overlies the Yeoman Formation. However, the low δ18O values of dolomited burrow infills (-5.9‰~ -7.8‰, PDB) and matrix dolomites (-6.6‰~ -8.1‰, avg. -7.4‰ PDB) compared to the estimated values for the late Ordovician marine dolomite could be attributed to modification and alteration of dolomite at higher temperatures during deeper burial, which could also be responsible for its 87Sr/86Sr ratios (0.7084~0.7088) that are higher than suggested for the late Ordovician seawaters (0.7078~0.7080). The trace amounts of saddle dolomite cement in the Red River carbonates are probably related to "cannibalization" of earlier replacement dolomite during the chemical compaction.  相似文献   

18.
In the 19th century the society was controlled by men, and women were just appendants of them, they had not any rights and freedom. But Jane was an exception, she showed some characteristics of early feminist. Jane showed her characteristics of feminism in three aspects: rebellion, equality, and independence. These characteristics were helpful to her success, and feminism is the only way out for women of that time.  相似文献   

19.
As an American modern novelist who were famous in the literary world, Hemingway was not a person who always followed the trend but a sharp observer. At the same time, he was a tragedy maestro, he paid great attention on existence, fate and end-result. The dramatis personae's tragedy of his works was an extreme limit by all means tragedy on the meaning of fearless challenge that failed. The beauty of tragedy was not produced on the destruction of life, but now this kind of value was in the impact activity. They performed for the reader about the tragedy on challenging for the limit and the death.  相似文献   

20.
The non-orthogonal localized molecular orbital(NOLMO)is the most localized representation of electronic degrees of freedom.As such,NOLMOs are thus potentially the most efficient for linear scaling calculations of electronic structures for large systems.However,direct ab initio calculations with NOLMO have not been fully implemented and widely used,partly because of the slow convergence issue in the optimization of NOLMO.We devel-  相似文献   

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