| 基于半参数LM-ARMAX模型的股价波动成因分析 |
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| 引用本文： | 陈春春,胡日东.基于半参数LM-ARMAX模型的股价波动成因分析[J].金融理论与实践,2011(7). |
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| 作者姓名： | 陈春春 胡日东 |
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| 作者单位： | 华侨大学,经济与金融学院,福建,泉州,362021 |
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| 基金项目： | 国家软科学计划项目(2008GXS5D130); 教育部科学技术研究重点项目(209148) |
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| 摘 要： | 对股票价格波动的建模分析,一直是经济与金融研究的核心领域,是什么导致了股票价格的波动,也一直是投资主体共同关注的话题。有鉴于此,本文选择沪市1991-2010年所有上市公司的数据,建立了LM-ARMAX模型来实证股票价格波动的决定因素,最后根据模型半参数估计的结果,进行了基于半参数估计的非线性检验和基于Wild Bootstrap的Smirnov检验,结果表明:市账率和成交量是股票价格波动的主要因素,而净资产收益率对股票价格波动的影响不显著。
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| 关 键 词： | 股票市场 股价 波动率 半参数 非线性 市账率 |
Cause Analysis on Stock Price Volatility based on Semi-parametric LM-ARMAX Model |
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| Chen Chun-chun,Hu Ri-dong.Cause Analysis on Stock Price Volatility based on Semi-parametric LM-ARMAX Model[J].Financial Theory and Practice,2011(7). |
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| Authors: | Chen Chun-chun Hu Ri-dong |
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| Institution: | Chen Chun-chun,Hu Ri-dong |
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| Abstract: | Modeling analyzed on stock price volatility has been always the core domain of research on economy and finance,the causes for stock price volatility has been also concerned by all the investment subjects together.According to this,the author chose the data of all listed companies from 1991 to 2010 in Shanghai Stock Market and built the LM-ARMAX model to give an empirical for determinants of stock price volatility.The results showed that the determinants for stock price volatility were Price to Book Ratio an... |
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| Keywords: | Stock Market Stock Price Volatility Semi-parametric Nonlinear Price to Book Ratio |
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