| 基于半参数LM-ARMAX模型的股价波动成因分析 |
| |
| 引用本文： | 陈春春,胡日东. 基于半参数LM-ARMAX模型的股价波动成因分析[J]. 华侨大学学报(自然科学版), 2012, 33(3): 330-336 |
| |
| 作者姓名： | 陈春春 胡日东 |
| |
| 作者单位： | 华侨大学经济与金融学院,福建泉州,362021 |
| |
| 基金项目： | 国家软科学计划项目，教育部科学技术研究重点基金资助项目 |
| |
| 摘 要： | 选择沪市1991-2010年所有上市公司的数据,建立LM-ARMAX模型来实证股票价格波动的决定因素;然后,根据模型半参数估计的结果,进行基于半参数估计的广义似然比检验和基于Wild Bootstrap的Smirnov检验.研究结果表明:市帐率和成交量是股票价格波动的主要因素,而净资产收益率对股票价格波动的影响不显著;相比起"指数研究"和"样本替代研究"而言,实证的数据精确度更高,说服力更强.
|
| 关 键 词： | 股票价格 LM-ARMAX模型 波动率 半参数估计 非线性 |
Stock Price Volatility Analysis Based on Semi-Parametric LM-ARMAX Model |
| |
| CHEN Chun-chun , HU Ri-dong. Stock Price Volatility Analysis Based on Semi-Parametric LM-ARMAX Model[J]. Journal of Huaqiao University(Natural Science), 2012, 33(3): 330-336 |
| |
| Authors: | CHEN Chun-chun HU Ri-dong |
| |
| Affiliation: | (College of Economics and Finance,Huaqiao University,Quanzhou 362021,China) |
| |
| Abstract: | We selected all listed companies data of 1991-2010 in Shanghai stock exchange,established long memory-autoregressive moving average with exogenous variables(LM-ARMAX) model to study the determining factors of stock price volatility,and then,had a generalized likelihood ratio test based on the semi-parametric estimation and Smirnov test based on Wild Bootstrap according to the results of semi-parametric estimation of the model.The results show that the major factors of the stock price volatility are the book ratio and the volume,not the income ratio of net assets;compared to "index research" and "sample alternative research",the empirical data is more accurate and more convincing. |
| |
| Keywords: | stock prices LM-ARMAX model volatility semi-parametric estimation nonlinear |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
