[1]许毓坤,于洋.股市预期的短期波动与长期记忆性研究 —— 基于新浪网股市调查数据[J].温州大学学报(社会科学版),2016,(02):078-82.
 XU Yukun,YU Yang.Study at Expectation of Stock Market about Short-term Fluctuation and Long-term Memory —— Based on Sina’s Stock Market Survey Data[J].Journal of Wenzhou University,2016,(02):078-82.
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股市预期的短期波动与长期记忆性研究 —— 基于新浪网股市调查数据
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《温州大学学报》(社会科学版)[ISSN:1674-3555/CN:33-1345/C]

卷:
期数:
2016年02期
页码:
078-82
栏目:
经济学
出版日期:
2016-03-25

文章信息/Info

Title:
Study at Expectation of Stock Market about Short-term Fluctuation and Long-term Memory —— Based on Sina’s Stock Market Survey Data
作者:
许毓坤1于洋2
1.华侨大学经济与金融学院,福建泉州 362021;2.东北财经大学数学与数量经济学院,辽宁大连 116025
Author(s):
XU Yukun1 YU Yang2
1.School of Economics and Finance, Huaqiao University, Quanzhou, China 362000; 2.School of Mathematics and Quantitative Economics, Dongbei University of Finance and Economics, Dalian, China 116025
关键词:
股市预期长记忆性非对称性统计调查
Keywords:
Stock Expectation Long-term Memory Asymmetry Survey
分类号:
F830.91
文献标志码:
A
摘要:
基于新浪网的多空调查数据换算得到股市预期,研究发现:股市预期表现出高峰厚尾、集束波动等典型的金融数据特征;TGARCH、FIEGARCH模型显示预期波动具有非对称性看空预期的冲击要大于看多预期;长记忆模型表明股市预期波动均值有中度长记忆性,方差则具有非对称长记忆性。本研究将有利于进一步揭示股市整体预期行为特征和变化规律。
Abstract:
With SINA survey data we obtain the stock yield expectation, and find that stock yield expectation has a typical peak thick tail and volatility cluster characteristics which the financial data always had. By TGARCH and FIEGARCH model, we find that there is asymmetric effect of China’s stock yield expectation. Long memory models show that stock yield expectations have an average moderately long memory, and the variance with asymmetric long memory. This conclusion will help to reveal the characteristic and variation of stock yield expectation.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2014-03-21
基金项目:福建省教育厅A类项目(JAS140151);泉州市社科联基金项目(2014H05)
作者简介:许毓坤(1979- ),男,福建泉州人,副教授,博士,研究方向:数量经济学
更新日期/Last Update: 2016-03-25