| 基于非参数波动测度的上海股票市场异质性研究 |
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| 引用本文： | 李阳泱,李汉东.基于非参数波动测度的上海股票市场异质性研究[J].北京师范大学学报(自然科学版),2009,45(3). |
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| 作者姓名： | 李阳泱 李汉东 |
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| 作者单位： | 北京师范大学管理学院,100875,北京 |
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| 基金项目： | 国家自然科学基金资助项目(70771012) |
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| 摘 要： | 利用非参数波动测度——已实现波动和已实现极差波动研究了上海股票市场的异质性现象,发现上海股票市场收益波动率的长记忆性主要是由短期交易者和长期交易者决定,并且已实现极差波动测度对股票收益波动的预测效果要好于已实现波动测度.
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| 关 键 词： | 已实现波动 已实现极差波动 异质性 长记忆性 |
HETEROGENEITY OF SHANGHAI STOCK MARKET BASED ON NONPARAMETRIC VOLATILITY MEASUREMENTS |
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| LI Yangyang,LI Handong.HETEROGENEITY OF SHANGHAI STOCK MARKET BASED ON NONPARAMETRIC VOLATILITY MEASUREMENTS[J].Journal of Beijing Normal University(Natural Science),2009,45(3). |
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| Authors: | LI Yangyang LI Handong |
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| Institution: | School of Management;Beijing Normal University;100875;Beijing;China |
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| Abstract: | Nonparametric volatility measurements--realized volatility and realized range-based volatility were used to test heterogeneous phenomenon of The Shanghai stock market. It was found that long-memory of return volatility was mainly attributed to short-term and long-term traders. Realized range-based volatility performed better than realized volatility in forecasting. |
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| Keywords: | realized volatility realized range-based volatility heterogeneity long-memory |
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