中国股票市场

中国股票市场报酬与波动的GARCH-M模型

Some Studies of the Volatility and Stock Return on China Stock Markets Using GARCH-M

本论文采用人工神经网络技术对中国股票市场的预期收益率进行实证分析。

This thesis uses the Artificial Neural Net technique to empirically analyze the expected rate of return of China stock markets .

中国股票市场IPO抑价实证研究

An Empirical Research on IPO Underpricing in China 's Share Security Market

基于中国股票市场数据的VaR与ES方法精确比较实证研究

Empirical Studies of Var and ES Models Precision Based on China Stock Market

IPO的抑价现象与股票市场有效性假设相矛盾，特别是中国股票市场IPO抑价程度相对高，已经影响到股票市场的健康发展和资源的有效配置。

Moreover , higher degree of underpricing in China has affected development of its stock market .

新股发行分配中的承销商作用、机构利益和股权结构影响了中国股票市场的IPO抑价；

Underwriters ' functions , institutional interests and equity structure in the IPO allocation influenced the IPO underpricing of China ;

沪深两市股票指数收益率分布特征的实证研究&用MATLAB软件实现对中国股票市场数据的检验

Empirical research on the nonlinear testing and distributions of the Hu Shen City 's general index rate of return Implementation with Matlab of testing on the data of China stock market

本文利用中国股票市场的48只具有代表性的股票，对股票日收益的GARCH效应进行了实证研究。

In this paper , we study the GARCH effects in daily stock return and the relationship between daily trading volume and volatility .

利用三种GARCH-M模型实证分析了中国股票市场不同发展阶段波动的非对称性特征。

Using three kinds of models of GARCH-M , this paper investigates asymmetric volatility of China stock market .

本文运用ARDL模型进行实证研究，试图说明汇率是否对中国股票市场中以不同货币定价和交易的股票的价格产生不同影响。

This paper investigates the interrelations between exchange rates and stock market performances in China .

基于混合分布假定（MDH），研究了中国股票市场信息流、回报的波动性和交易量之间动态关系。

The dynamic relations of the information flow , return volatility and trade volume in Chinese stock market is investigated based on the Mixture distribution hypothesis .

另外，中国股票市场符合国际上研究量价关系的混合分布假说（MDH）理论，交易最所替代的信息流是引起股市波动的根源。

Finally , consistent with the theory of mixture distribution hypothesis ( MDH ), the information flow that volume substitutes is indeed the cause of price volatility .

通过Wind金融资讯系统获取上市公司丰富的信息资源，依据上市公司股价的信息，采用多元GARCH&M模型对上市公司股票回报的波动率进行估计，运用违约风险预警模型获得中国股票市场上市公司的违约概率；

According to information about stock price of listed company from Wind consultative system , volatility of stock return of listed company can be estimated through multivariate GARCH & M model , so the default probability of listed company can be attained by employing the evaluating model in this paper .

通过对上海和深圳股票市场在分析法、历史模拟法和稳定分布三种模型下的VaR的返回检验，结果表明稳定分布下VaR模型能够较好的度量中国股票市场风险。

Through the backing test of Shanghai and Shenzhen stock market under the three model of analytical method , historical simulation method and stable distribution , the result shows the VaR model can measure the risk of stock market in China .

本文通过相关维检验、李雅普诺夫指数检验、BDS检验和返回临近（CR）检验对中国股票市场的混沌特征进行了分析，获得中国股票市场是混沌的有力证据。

We have tested the chaotic characteristics by using correlation dimension test , Lyapunov exponent test , BDS test and close return ( CR ) test . The conclusion indicates that Chinese stock market is chaotic .

采用1996年1月至2002年8月之间的月宏观经济数据与股指为样本，运用VAR方法来研究中国股票市场受宏观经济信息影响的程度。

This paper uses monthly macroeconomic data and stock market indices from January 1996 to August 2002 , and adopts vector autoregression method to study the fraction of the variation in stock returns that can be attributed to various types of macroeconomic news .

结合GARCH模型，构建了具有尾部变结构特性的RS-Copula-GARCH模型，并将其用于中国股票市场非对称尾部相关结构的研究。

By the Combination of GARCH model with RS-Copula function , RS-Copula-GARCH model is constructed to study asymmetric tail dependence structure in Chinese stock markets .

汇率对中国股票市场的影响是否存在：从自回归分布滞后模型（ARDL-ecm）得到的证明

Do the Exchange Rates Matter for Chinese Stock Market : Evidence from ARDL-ecm Estimation

为了说明我们提出的检验统计量的使用效果，我们用SD检验统计量，对不同类型的投资者就传统股票、科技股票和中国股票市场在互联网泡沫及次贷危机前后进行了相应投资偏好的研究。

To illustrate the use-fulness of our proposed statistics , we use the SD test statistics to study the preferences of investors with the corresponding S-shaped and reverse S-shaped utility functions vis-a-vis returns of traditional stocks and Internet stocks before and after the Internet bubble and subprime crisis .

中国股票市场也存在着和发达国家同样的IPO股票超额收益现象，且有过之而无不及，学界称此为新股神话、新股的虚假繁荣。

But they failed due to the short of indispensable environment of market economy . This phenomenon also exists in the Chinese stock market , and goes even farther , which is called " the miracle of IPO " or " the bubble boom of IPO " .

采用动态随机波动性模型实证研究了中国股票市场的波动性.通过基于马尔可夫链蒙特卡罗（MCMC）模拟的贝叶斯分析方法，较好地估计了随机波动性模型中的参数与波动性序列。

The volatility of Chinese stock market is investigated using the dynamic version of stochastic volatility model , and Bayesian analysis based on MCMC is introduced to improve the parameters estimation in stochastic volatility model .

该文通过Hurst指数、分形维、稳定指数和分形差分参数4种方法对中国股票市场的分形结构进行实证研究。

This paper probes and discusses the fractal structure characterized by self-similarity and long memory . It conducts empirical research on Chinese stock market by four kinds of fractal parameters , i.e. , Hurst index , fractal dimension , stable index and fractional difference parameter .

针对中国股票市场波动幅度大的特征，文章运用股指期货对上证50ETF和深证100ETF进行了套期保值实证研究。

Aiming at the characteristics of China stock market fluctuations ' varying within wide limits , this paper takes Shanghai 50 ETF and Shenzhen 100 ETF for the hedge empirical study with the stock index futures .

此外，本文还发现了Duffing-Holms模型的一个序参量&外力频率参数，给出了它的周期解的存在性条件。然后，对中国股票市场的混沌动力学特征进行了全面地考察。

Besides , we find a order parameter of the Duffing-Holms model & outside force frequency parameter , and present existence conditions of period solution of the model . Secondly , we analyze roundly the chaotic dynamical characteristics of Chinese stock market .

局部战争条件下中国股票市场的安全性研究

Stock Market Security Study in China in View of Regional Conflict

中国股票市场分割与价格行为

The Market Segmentation and Stock Prices in China 's Stock Market

中国股票市场价格波动的理论与实证研究

Theoretical Study of China 's Stock Market Price Volatility with Applications

中国股票市场的三因子时变风险溢价模型研究

Three-Factor Model With Time-Varying and Risk Premium in Chinese Stock Market

中国股票市场的收益-风险关系和惯性分析

A Valuation Study of Chinese Stock Markets ′ Return-Risk and Momentum

中国股票市场正反馈交易行为之实证

Empirical research on positive feedback traders in China 's stock market