金融危机前后世界主要股票指数的金融风险:基于t分布的实证研究

发布时间：2018-03-20 15:51

本文选题：t分布　切入点：自由度　出处：《系统工程理论与实践》2011年05期 　论文类型：期刊论文

【摘要】：选取2004-2006年(平稳区间)和2007-2009年(危机区间)全球28支股票指数作为样本,计算标准化后的日对数收益率,利用t分布和正态分布对概率密度分布函数进行拟合.K-S检验显示,t分布的拟合优度高于正态分布.计算股指对数收益率t分布的自由度数v和标度参数b.研究表明:股票指数的风险在金融危机期间大幅升高;在平稳期,自由度v一般大于2,中位数为2.64,与"自由度近似等于3"的结论相符,但是金融危机期间,股票指数大幅波动,自由度v一般小于2,t分布曲线的性质发生改变.由于中国对股票交易设立了涨跌停板制度,上证综指和深圳成指的v值在金融危机前后没有显著变化,均在3附近.
[Abstract]:From 2004 to 2006 (stationary range) and 2007-2009 (crisis interval), 28 global stock indices were selected as samples to calculate the standardized daily logarithmic rate of return. T distribution and normal distribution are used to fit probability density distribution function. K-S test shows that the goodness of fit of t distribution is higher than that of normal distribution. The degree of freedom v and scale parameter b of the distribution of logarithmic yield t of stock index are calculated. Clear: the risk of the stock index rose sharply during the financial crisis; During the stationary period, the degree of freedom v is generally greater than 2 and the median is 2.64, which is consistent with the conclusion that the degree of freedom is approximately equal to 3. However, during the financial crisis, the stock index fluctuates sharply. The property of the distribution curve of degree of freedom v is generally less than 2 t. Due to the establishment of the limit system for stock trading in China, the v values of the Shanghai Composite Index and Shenzhen Composite Index have not changed significantly before and after the financial crisis, both of which are in the vicinity of 3.
【作者单位】：中国科学院研究生院管理学院;国家信息中心博士后科研工作站;中国政法大学商学院;宁波大学商学院;中国科学院理论物理研究所;
【基金】：国家自然科学基金(10835005) 中国科学院院长基金教育部人文社科基金(10YJC630425)
【分类号】：F831.51;F224

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