基于国际视角的股票市场价格行为比较研究

本文以中美英等8个国家的股票市场指数序列为研究对象,分析股市的收益分布特征、杠杆性、高风险高收益性和随机性特征。然后,对上述指标进行标准化,用分层聚类方法进行综合比较。结果表明,新兴市场与成熟市场存在明显差异,中国、阿根廷和俄罗斯的股票市场与其他成熟市场相似性较低。

A Comparative Study on the Price Behavior of Stock Market from the International Perspective

In this paper, eight countries＇ stock market index series, including China, the United States and Britain,etc, were taken as subjects to analyse the stock market＇s characteristics involving eamings＇ distributed characteristic, leverage effect, high-risk and high-yield characteristics and randomness. Afterwards, all indicators were standardized, and then hierarchical clustering method was used to make integrated comparison.The result of cluster analysis shows that the emerging counties and the mature are quite different.Stock markets in China, Argentina and Russia have little similarity with the mature countries.