| 中国股票市场亏损股价格波动的统计分析 |
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| 引用本文： | 柳松.中国股票市场亏损股价格波动的统计分析[J].韶关学院学报,2004,25(1):43-46. |
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| 作者姓名： | 柳松 |
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| 作者单位： | 韶关学院,社科系,广东,韶关,512005 |
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| 摘 要： | 亏损股的价格波动是金融理论界和实务界的关注热点之一。将协整模型与ARCH模型和GARCH模型相结合，可探知亏损股板块的价格波动特征；进而采用脉冲响应函数和方差分解法可得知亏损指数波动和市场指数波动的相互冲击效应和相互影响程度。
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| 关 键 词： | 中国 股票市场 亏损股 亏损指数 价格波动 协整模型 ARCH模型 脉冲响应函数 方差分解法 |
| 文章编号： | 1007-5348(2004)01-0043-04 |
| 修稿时间： | 2003年6月13日 |
On Statistical Analysis of the Price Fluctuation of Deficit Shares in Chinese Stock Market |
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| LIU Song.On Statistical Analysis of the Price Fluctuation of Deficit Shares in Chinese Stock Market[J].Journal of Shaoguan University(Social Science Edition),2004,25(1):43-46. |
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| Authors: | LIU Song |
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| Abstract: | The price fluctuation of deficit shares is one of the hotspots in the financial theory and business fields . The thesis probes the characteristics of price fluctuation about the plate of deficit shares through combining go-integration model with ARCH and GARCH model, and also studies the mutual pulse effect and impact degree which are brought by the fluctuation of deficit shares index and market index with pulse response function and variance decomposition . |
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| Keywords: | deficit shares index price fluctuation go-integration model and ARCH model pulse response function variance decomposition method |
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