[1]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].华侨大学学报(自然科学版),2012,33(3):330-336.[doi:10.11830/ISSN.1000-5013.2012.03.0330]
　CHEN Chun-chun,HU Ri-dong.Stock Price Volatility Analysis Based on Semi-Parametric LM-ARMAX Model[J].Journal of Huaqiao University(Natural Science),2012,33(3):330-336.[doi:10.11830/ISSN.1000-5013.2012.03.0330]
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基于半参数LM-ARMAX模型的股价波动成因分析()
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《华侨大学学报（自然科学版）》[ISSN:1000-5013/CN:35-1079/N]

卷:
第33卷
期数:
2012年第3期
页码:
330-336
栏目:
出版日期:
2012-05-20

文章信息/Info

Title:
Stock Price Volatility Analysis Based on Semi-Parametric LM-ARMAX Model
文章编号:
1000-5013(2012)03-0330-07
作者:
陈春春; 胡日东
华侨大学经济与金融学院
Author(s):
CHEN Chun-chun;  HU Ri-dong
College of Economics and Finance, Huaqiao University, Quanzhou 362021, China
关键词:
股票价格;  LM-ARMAX模型;  波动率;  半参数估计;  非线性
Keywords:
stock prices;  LM-ARMAX model;  volatility;  semi-parametric estimation;  nonlinear
分类号:
F832.51; O212.7
DOI:
10.11830/ISSN.1000-5013.2012.03.0330
文献标志码:
A
摘要:
选择沪市1991-2010年所有上市公司的数据,建立LM-ARMAX模型来实证股票价格波动的决定因素; 然后,根据模型半参数估计的结果,进行基于半参数估计的广义似然比检验和基于Wild Bootstrap的Smirnov检验.研究结果表明:市帐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; 相比起"指数研究"和"样本替代研究"而言,实证的数据精确度更高,说服力更强.
Abstract:
We selected all listed companies data of 1991-2010 in Shanghai stock exchange,established long memory-autoregressive moving average with exogenous variables(LM-ARMAX) model to study the determining factors of stock price volatility,and then,had a generalized likelihood ratio test based on the semi-parametric estimation and Smirnov test based on Wild Bootstrap according to the results of semi-parametric estimation of the model.The results show that the major factors of the stock price volatility are the book ratio and the volume,not the income ratio of net assets; compared to "index research" and "sample alternative research",the empirical data is more accurate and more convincing.

参考文献/References:

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备注/Memo

备注/Memo:
国家软科学计划项目(2008GXS5D130); 教育部科学技术研究重点基金资助项目(209148)
更新日期/Last Update: 2014-03-23