| 基于Markov机制转换模型的我国股市周期波动状态研究 |
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| 引用本文： | 姜婷,周孝华,董耀武.基于Markov机制转换模型的我国股市周期波动状态研究[J].系统工程理论与实践,2013,33(8):1934-1939. |
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| 作者姓名： | 姜婷 周孝华 董耀武 |
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| 作者单位： | 1. 重庆大学 经济与工商管理学院, 重庆 400030;
2. 重庆师范大学 经济与管理学院, 重庆 400047 |
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| 基金项目： | 重庆师范大学基金，中央高校基本科研业务费资助项目 |
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| 摘 要： | 运用Markov机制转换模型,研究我国股市在不同状态之间的周期转换.研究结果表明, 四状态异方差马尔科夫机制转换模型最能刻画我国股市周期波动特征; 1996年12月26日-2010 年 12月 31日涨跌停板限制下, 股票价格的变动可以分为快速下跌、缓慢下跌、缓慢上涨和快速上涨四种状态;我国股市总体上体现出急涨慢跌的态势, 缓慢下跌是其主要波动状态;股市阶段性波动大体上分为波动较大和波动较小两种期间.
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| 关 键 词： | 四状态Markov模型 股市周期 状态转换 |
| 收稿时间： | 2011-05-30 |
Stock market cycle fluctuation in China: Markov regime switching model |
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| JIANG Ting
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ZHOU Xiao-hua
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DONG Yao-wu.Stock market cycle fluctuation in China: Markov regime switching model[J].Systems Engineering —Theory & Practice,2013,33(8):1934-1939. |
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| Authors: | JIANG Ting ZHOU Xiao-hua DONG Yao-wu |
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| Institution: | 1. School of Economics and Business Administration, Chongqing University, Chongqing 400030, China;
2. School of Economics and Management, Chongqing Normal University, Chongqing 400047, China |
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| Abstract: | The paper focuses on the stock market cycle fluctuation in China using the regime switching model. Our results indicate that: heteroscedastic four states Markov regime switching model describes the stock market fluctuation characteristics well; from December 26, 1996 to December 31, 2010, after the raising limit, stock price fluctuation exhibits four different kinds of moving situation: dropping sharply, dropping mildly, rising sharply, and rising mildly; our stock market express rising rapidly and dropping slowly, and dropping slowly is the major fluctuation; periodic fluctuations in the stock market generally divide into more volatile and less volatile two periods. |
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| Keywords: | four states Markov model stock market cycle regime switching |
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