本文選題：多項選擇模型 + 聯(lián)合極值點　； 參考：《管理工程學(xué)報》2011年01期

【摘要】：本文對我國證券市場行業(yè)指數(shù)收益率的極值聯(lián)動關(guān)系及其決定因素進行了實證研究。較以往的研究,本文在研究方法和內(nèi)容方面作了如下拓展:1)引入聯(lián)合極值點(Coexceedances)概念來分析行業(yè)間收益率的非線性極值聯(lián)動關(guān)系;2)運用多項選擇模型,估計和推斷行業(yè)間收益率極值聯(lián)動的影響因素。研究發(fā)現(xiàn):1)證券市場行業(yè)間收益率的正(負)極值聯(lián)動與市場的波動率正相關(guān);2)經(jīng)濟景氣指數(shù)和無風(fēng)險利率對行業(yè)正(負)收益率極值聯(lián)動影響不同,經(jīng)濟景氣指數(shù)僅對行業(yè)間正的極值聯(lián)動有顯著影響,無風(fēng)險利率僅與行業(yè)間收益率負的極值聯(lián)動顯著正相關(guān);3)波動的持續(xù)性對行業(yè)間收益率正(負)的極值聯(lián)動無顯著影響。本文研究結(jié)果為組合投資者的風(fēng)險控制和市場管理者的政策制定提供參考依據(jù)。
[Abstract]:This paper makes an empirical study on the relationship between the extreme value and the determinant factors of the return rate of the industry index in China's securities market. Compared with previous studies, this paper extends the research methods and contents as follows: 1) introducing the concept of joint extreme point to analyze the nonlinear extreme value linkage relationship between industries. Estimate and infer the factors that affect the linkage of yield extremum between industries. The study found that the positive (negative) extremum linkage of the inter-industry yield in the securities market is positively correlated with the volatility of the market (2) the economic climate index and the risk-free interest rate have different effects on the linkage of the positive (negative) yield extremum of the industry. The economic climate index only has a significant effect on the linkage of positive extreme value among industries, and the persistence of volatility only has no significant effect on the linkage of positive (negative) extreme value of inter-industry rate of return with the linkage of negative extreme value of inter-industry rate of return. The results of this paper provide a reference for portfolio investors' risk control and market managers' policy making.
【作者單位】： 上海財經(jīng)大學(xué)金融學(xué)院;上海工程技術(shù)大學(xué)管理學(xué)院;
【分類號】：F224;F832.51

【參考文獻】

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1 勞蘭s，

本文編號：1840778