| “中小板”市场“牛市”和“熊市”的波动非对称性研究 |
| |
| 引用本文： | 胡一朗.“中小板”市场“牛市”和“熊市”的波动非对称性研究[J].科技和产业,2011,11(4):73-75. |
| |
| 作者姓名： | 胡一朗 |
| |
| 作者单位： | 莆田学院,管理学院,福建,莆田,351100 |
| |
| 基金项目： | 福建省教育厅社会科学研究项目(JBS07104) |
| |
| 摘 要： | 运用广义误差分布的EGARCH（1,1）模型,分析中小板市场＂牛市＂和＂熊市＂行情（即样本）的波动非对称性。主要结论有：在牛市、熊市中等量＂利好＂消息与＂利空＂消息对股市产生的冲击是不对称的：在牛市中,＂利好＂消息对股市的影响要比相同力度的＂利空＂消息影响大;在熊市中,＂利空＂消息对股市的影响要比相同力度的＂利好＂消息影响大;中小板市场的波动性较大。
|
| 关 键 词： | 牛市 熊市 非对称性 |
Study of the Volatility Asymmetry Based on Bull and Bear Market in Small Plate Market |
| |
| HU Yi-lang.Study of the Volatility Asymmetry Based on Bull and Bear Market in Small Plate Market[J].SCIENCE TECHNOLOGY AND INDUSTRIAL,2011,11(4):73-75. |
| |
| Authors: | HU Yi-lang |
| |
| Institution: | HU Yi-lang(School of Management,Putian University,Putian Fujian 351100,China) |
| |
| Abstract: | In this paper,We analyses the volatility asymmetry of the bull and bear market(i.e.sample),using generalized error distributed EGARCH(1,1) model in Small plate market.The main conclusion includes:It is the volatility Asymmetry of the good and bad news in the bull and bear market;The positive impact has a bigger volatility than the negative impact in the bull market;The negative impact has a bigger volatility than the positive impact in the bear market.the volatility of the stock price is bigger in Small pl... |
| |
| Keywords: | bull bear asymmetry |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《科技和产业》浏览原始摘要信息 |
| 点击此处可从《科技和产业》下载免费的PDF全文 |
|
