| 股票价格均值回归理论研究综述 |
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| 引用本文： | 宋玉臣.股票价格均值回归理论研究综述[J].税务与经济,2006(1):73-74. |
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| 作者姓名： | 宋玉臣 |
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| 作者单位： | 吉林大学,商学院,吉林,长春,130012 |
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| 摘 要： | 随机漫步理论认为股票的价格是不能预测的,许多实证检验的结果也支持了这一结论。但是,近年来均值回归理论对随机漫步理论提出了挑战。从长期来看,股票价格呈均值回归是必然的;均值回归具有不对称性;政府行为对股票的均值回归具有一定的影响。
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| 关 键 词： | 股票价格 随机漫步 均值回归 政府行为 |
| 文章编号： | 1004-9339（2006）01-0073-02 |
| 收稿时间： | 2005-09-03 |
| 修稿时间： | 2005年9月3日 |
A Summary of Studies on the Theory of Stock Price Mean Reversion and Its Quantitative Analysis Method |
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| SONG Yu - chen.A Summary of Studies on the Theory of Stock Price Mean Reversion and Its Quantitative Analysis Method[J].Taxation and Economy,2006(1):73-74. |
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| Authors: | SONG Yu - chen |
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| Institution: | Buisness School ,Jilin University, Changchun 130012, China |
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| Abstract: | Random Walk Theory thinks that the price of the shares is unpredictable,and many concrete examples have already proved this conclusion.But,in recent years,Average Value Return Theory gave a challenge to the Random Walk Theory.In the long run,it is inevitable that the price of the shares bears the nature of average value return.The average value return is in the nature of asymmetry.The behavior of the government influences the average value return of the shares to some extent. |
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| Keywords: | price of the shares random walk average value return behavior of the government |
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