沪深指数

我们得到沪深指数和沪深ST板块的组合符合市场弱有效性，而有些个别ST股票未能通过检验。

We get the results that the stock indices and portfolio of ST pass the test , but some ST stocks can 't pass the test .

本文将t-Copula函数结合GARCH-t模型来对沪深指数的投资组合进行MonteCarlo模拟，以度量证券市场的风险。

This article will measure the risk of the securities market including CSI Index by combining t-Copula Functions with GARCH-t model based on Monte Carlo simulations approach .

沪深300指数周二下跌0.5%，尽管数据显示中国国内生产总值（GDP）增速略高于预期。

The CSI 300 fell 0.5 per cent on Tuesday , despite data showing gross domestic product growing slightly faster than expected .

以估值为例：按照2008年的一致收益预期衡量，基准的沪深300指数（csi300）目前的市盈率为23倍。

Take valuations : the benchmark CSI 300 index is now trading at 23 times 2008 consensus earnings forecasts .

一个研究是指利用多种GARCH族模型来研究沪深300指数的风险特性。

One study refers to using a variety of GARCH family models to study the risk characteristics of CSI 300 Index .

通过正态性、自相关性、稳定性以及ARCH效应的实证分析，发现沪深300指数不满足正态分布，基本不存在自相关性，而且是稳定的序列，但是收益分布存在明显的波动集聚性。

After checking the normality , autocorrelation and ARCH effects and stability of the Shanghai and Shenzhen 300 index , the paper finds that it is non-normal , week auto relation , stable but volatility clustering apparently .

发现样本数据具有尖峰厚尾性质、自相关性和平稳性。采用历史模拟法、正态模型法、Laplace模型法、蒙塔卡洛模拟法和极值理论五种计算方法估计了沪深300指数的VaR。

We can find that the sample data has high peaks and fat tails properties.2.VaR of Hushen 300 index is estimated by Historical Simulation Method , Normal Model Method , Laplace Model Method , Monte Carlo Simulation Method , Extreme Value Theory .

主要的缺陷在于没有能够构建出一个准确的用于模拟沪深300指数收益率的模型，从而导致了应用蒙特卡罗模拟法计算VaR值的模型风险，这在很大程度上影响了蒙特卡罗模拟法的有效性。

The main disadvantage is that I failed to build an accurate model to simulate the yield series of CSI 300 Index , resulting in the model risk when I use the Monte Carlo simulation method , which seriously affected the validity of Monte Carlo simulation method .

占沪深300指数市值70%以上的成分股公司，目前由“四大”会计师事务所使用国际财务报告准则（ifrs）进行审计：中国内地的会计过失风险，目前并不高于其它新兴市场。

More than 70 per cent of the CSI 300 market cap is now audited by the big four accounting firms using IFRS : the risk of accounting misadventures is now no higher than other emerging markets .

自1月份以来，沪深300指数已上涨逾50%。

The CSI 300 has risen more than 50 per cent since January .

沪深300指数本月在创出将近20个月来的新高后小幅回落。

The index hit a near 20-month high this month before retreating slightly .

本文以沪深300指数期货为研究对象，主要讨论了股指期货的套利交易。

This article mainly discussed the arbitrage of stock index futures based on SSE 300 index .

经过数年的探索，2010年4月16日沪深300指数期货正式上市交易，标志着A股市场进入了做空时代。

April 16,2010 China CSI 300 index futures were officially listed and traded in the market .

说明虽然沪深300指数期货处于仿真交易，但其价格引导作用已经显现。

This shows , although 300 index futures are simulation trading , but it is a price guidance .

本文意图解决在极端情况下如何度量沪深300指数的风险价值问题。

This paper wants to solve how to measure VaR of Shanghai-Shenzhen 300 index in the extreme situation .

第一，以更具样本代表性的沪深300指数为研究对象。

First , the study is on the CSI 300 Index , it has a very good representative sample .

结果表明，沪深300指数是我国首只股指期货最佳标的指数候选者。

Analysis shows that Shanghai-Shenzhen 300 index is the best underlying index for China first stock index futures and option .

近期中国金融期货交易所推出了沪深300指数期货合约（征求意见稿）的条款。

Recently CFFEX ( China Financial Futures Exchange Co. , Ltd. ) has announced its Shanghai-Shenzhen 300 Index Futures Contract .

基准的沪深300指数暴跌8.11%，收于3206.56点，银行及地产类股领跌。

The benchmark CSI 300 index plunged 8.11 % to 3206.56 , with banks and property developers leading the decline .

然而，沪深300指数完全由大型股组成，特别是银行和国有工业集团。

However , the CSI 300 is made up exclusively of large-cap shares , especially banks and state-owned industrial conglomerates .

因此用技术手段研究股价波动，选择沪深300指数做研究对象更合适。

Therefore , in order to research stock price volatility using technology , CSI 300 Index is more appropriate study object .

并以沪深300指数代表市场，实证检验了现实股票市场中不同学习速度下股市的波动状况。

We make CSI 300 index represent the market , to empirically test the stock market fluctuation in different learning speed .

2010年4月16日，沪深300指数期货在经过多年酝酿后正式丌盘交易。

Shanghai and Shenzhen 300 Index Futures are formally on the exchange after years of preparation on April 16th in 2010 .

经过十几年的准备，我国终于也在2010年4月16日成功推出了第一只股指期货&沪深300指数期货。

After more than ten years ' preparation , China launched the first stock index futures HS300 index futures on April 16,2010 .

上证指数的波动率存在明显的波动率集聚和波动率非对称效应，而沪深300指数只存在波动率集聚效应却不存在波动率的非对称效应。

And , there exists an obvious volatility clustering and non-symmetrical effect in , while HuShen-300 index exits only volatility clustering effect .

实证研究表明，沪深大盘指数收益率分布具有肥尾的特征，但并不服从无限方差分布。

The empirical analysis indicates that the tails of returns on Shanghai and Shenzhen stocks are not enough to conform to an infinite-variance distribution .

沪深300指数优化复制方法的实证研究&基于股指期货的正向套利实验模拟视角

An Empirical Study on Shanghai and Shenzhen 300 Index Optimum Replication : Based on the Perspective of Experimental Simulation about the Positive Arbitrage of Index Futures

伴随沪深300指数期货的成功推出，该指数已经成为了集投资、投机与套期保值为一体的多功能指数产品。

This kind of Index has become a set of investment , speculation and hedging Index product with the successful launch of CSI 300 Index futures .

本文通过分析沪深300指数期货的期现套利，以期为期货交易的政策制定者和投资者提供科学的可操作的参考意见。

Through the analysis of HS-300 Index future arbitrage , the author wants to provide some scientific theoretical reference for policy makers as well as the investors .

研究结果表明道·琼斯指数与沪深300指数之间存在长期稳定的均衡关系，并建立误差修正模型来反映这种关系，模型具有较好的拟合度。

The results showed that Dow Jones index and CSI 300 index have long-term marked equilibrium relationship . And we analyze this relation by madding Error Correction model-building .