| 基于熊市和牛市不同阶段的开放式基金收益特征研究 |
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| 引用本文： | 杨建辉,董竹英.基于熊市和牛市不同阶段的开放式基金收益特征研究[J].特区经济,2008(11):111-112. |
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| 作者姓名： | 杨建辉 董竹英 |
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| 作者单位： | 华南理工大学,工商管理学院,广东,广州,510840 |
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| 摘 要： | 对我国开放式基金日收益率进行基本统计分析,发现熊市阶段,日收益率序列除债券型基金,其均值统计不显著;牛市阶段,日收益率序列均值统计显著,且为正。采用EGARCH模型对我国开放式基金收益的两个阶段波动性的杠杆效应进行研究,结果表明熊市阶段一般不存在或存在负杠杆效应,而牛市阶段大部分存在正杠杆效应。
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| 关 键 词： | 开放式基金 EGARCH模型 杠杆效应 分阶段 |
Research of open fund earning's characteristic basing on different market |
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| Yang Jian Hui,Dong Zhu Ying.Research of open fund earning''s characteristic basing on different market[J].Special Zone Economy,2008(11):111-112. |
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| Authors: | Yang Jian Hui Dong Zhu Ying |
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| Institution: | Yang Jian Hui Dong Zhu Ying |
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| Abstract: | The basic statistical analysis is used to the daily return of Open-End Fund. It has been found that during the Bear Market stage, means of the daily return series, except bond funds, are not significant; whereas during the Bull Market stage, all means of the daily return series are significant and positive. Then EGARCH Model is used to analyze the leverage effect of two stages and the result shows that the two stages＇ leverage effect is different. |
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| Keywords: | Open-End Fund EGARCH model leverage effect stages |
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