中美股票市场持续期依赖特点比较研究

采用持续期依赖马尔可夫转换模型,通过Gibbs抽样估计方法,对我国和美国股票市场的持续期依赖特点进行研究。研究表明我国股票市场在牛市和熊市中均具有较明显的持续期依赖特征,其中牛市的持续期依赖特点强于熊市。美国股市在熊市中有明显的持续期依赖特点,在牛市中几乎不存在这种特点。造成这种差异的原因,主要是由于我国股市投机程度较高。

Comparison of Duration Dependence of Stock Markets in China and US

Using the duration-dependent markov switching autoregressive model estimated by Gibbs sampling method,this paper investigates the duration dependent feature of stock market in China and US. The results show that China's stock market has the significant duration dependent feature in both the bull and bear market,while in the US,the stock market has obvious duration dependent feature in the bear market but no duration dependence in the bull market. The reason is that there is high speculation in China's stock market.