| 中外股票市场风险收益的比较研究 |
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| 引用本文： | 毕秋香,李济凤.中外股票市场风险收益的比较研究[J].系统工程,2003,21(4):82-85. |
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| 作者姓名： | 毕秋香 李济凤 |
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| 作者单位： | 1. 广发证券,发展研究中心,广东,广州,510075
2. 上海电视大学,宝山分校,经济系,上海,200940 |
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| 基金项目： | 国家自然科学基金资助项目 (10 2 7112 0 1990 10 38) |
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| 摘 要： | 将中国证券市场的A股、B股分别与国际上四个成熟市场的风险、收益行为进行比较，从不同的角度分析和考察我国证券市场的数量特征，以及它与国际证券市场的关系是否密切；用带有局部及全球信息变量的GARCH(1，1)实证模型检验股指收益的条件均值，发现股指波动是时变的、不均匀的．局部及全球信息变量对股指收益有一定的解释性。
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| 关 键 词： | 证券市场 股票市场 风险收益 中国 国外 |
| 文章编号： | 1001-4098(2003)04-0082-04 |
Comparison of Risk and Return between Chinese Stock Markets and Other Countries |
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| BI Qiu xiang ,LI Ji feng.Comparison of Risk and Return between Chinese Stock Markets and Other Countries[J].Systems Engineering,2003,21(4):82-85. |
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| Authors: | BI Qiu xiang LI Ji feng |
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| Institution: | BI Qiu xiang 1,LI Ji feng 2 |
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| Abstract: | Behavior of risk and return in Chinese stock markets is compared with four mature international stock markets. We analyse the basic statistic properties and research the relations between Chinese stock markets and other countries. We characterize the time series properties of stock market returns and volatility. We use an emprical model of GARCH(1,1) to estimate the conditional mean of stock market returns. We find that stock market volatility is time varying, mild persistent and it can be explained by local and global information variables. |
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| Keywords: | Risk Return GARCH Model Local and Global Information Variables |
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