| Study of Regime Switching in Chinese Stock Market |
| |
| 作者姓名： | Jie Jiang |
| |
| 作者单位： | School of Economics and Management, Tsinghua University, Beijing 100084, China |
| |
| 摘 要： | This paper applies Markov switching techniques to examine the different conditions of Chinese Stock Market from 1995 to 2004, Three contrasting regimes are identified： a bear market, a bull market and a speculative market, This paper also surveys the time period and probability of each regime, The timing of regime switching reflects the strong policy market feature of Chinese stock market.
|
| 关 键 词： | Markov转换 股票市场 投机市场 证券市场 |
| 收稿时间： | 2005-10-15 |
Study of Regime Switching in Chinese Stock Market |
| |
| Jie Jiang.Study of Regime Switching in Chinese Stock Market[J].Journal of Sysytems Science and Information,2006,4(1):59-65. |
| |
| Authors: | Jie;Jiang |
| |
| Abstract: | |
| |
| Keywords: | Markov-switching Chinese stock market policy market |
| 本文献已被 维普 等数据库收录！ |
|
