| 基于结构方程模型(SEM)的股票风险计量研究 |
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| 引用本文： | 郑彦玲,祝兵,胡锡健.基于结构方程模型(SEM)的股票风险计量研究[J].科技情报开发与经济,2006,16(1):102-104. |
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| 作者姓名： | 郑彦玲 祝兵 胡锡健 |
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| 作者单位： | 新疆大学数学与系统科学学院,新疆,乌鲁木齐,830046;新疆大学数学与系统科学学院,新疆,乌鲁木齐,830046;新疆大学数学与系统科学学院,新疆,乌鲁木齐,830046 |
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| 基金项目： | 新疆大学科学研究基金资助项目 |
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| 摘 要： | 将风险看为一个不可直接测量的潜在变量,考虑采用一些可观测的指标变量来描述风险的模型时,许多股票风险计量的研究大多从定性方面给影响风险的因素以权重系数,而从定量角度给出风险与各因素的回归系数计量多因素风险模型的研究很少。针对这种情况,试用结构方程模型给出了定量研究多因素股票风险计量模型的方法,并作实证分析,结果表明基于结构方程模型的多因素风险计量模型是可行的。
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| 关 键 词： | 结构方程模型 风险 潜变量 指标变量 |
| 文章编号： | 1005-6033（2006）01-0102-03 |
| 收稿时间： | 2005-08-12 |
| 修稿时间： | 2005年8月12日 |
The Research on the Stock Risk Model Based on the Structural Equation Model(SEM) |
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| ZHENG Yan-Ling,ZHU Bing,HU Xi-Jian.The Research on the Stock Risk Model Based on the Structural Equation Model(SEM)[J].Sci-Tech Information Development & Economy,2006,16(1):102-104. |
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| Authors: | ZHENG Yan-Ling ZHU Bing HU Xi-Jian |
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| Abstract: | When the risk is regarded as an indirectly measured latent variable which can be described by some index variables.Most of the studies on the stock risk model give the weight coefficients of risk factors by some qualitative methods,and only a few gives the quantitative coefficients.This paper tries to quantitatively study multiple factors of the stock risk model by using the Structural Equation Model,and makes the empirical analysis,the results of which show that the stock risk model based on Structural Equation Model is feasible. |
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| Keywords: | Structural Equation Model risk latent variable index variable |
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