我国证券市场行业间收益率的极值联动效应实证研究

发布时间：2018-05-04 00:27

本文选题：多项选择模型 + 联合极值点　；参考：《管理工程学报》2011年01期

【摘要】：本文对我国证券市场行业指数收益率的极值联动关系及其决定因素进行了实证研究。较以往的研究,本文在研究方法和内容方面作了如下拓展:1)引入联合极值点(Coexceedances)概念来分析行业间收益率的非线性极值联动关系;2)运用多项选择模型,估计和推断行业间收益率极值联动的影响因素。研究发现:1)证券市场行业间收益率的正(负)极值联动与市场的波动率正相关;2)经济景气指数和无风险利率对行业正(负)收益率极值联动影响不同,经济景气指数仅对行业间正的极值联动有显著影响,无风险利率仅与行业间收益率负的极值联动显著正相关;3)波动的持续性对行业间收益率正(负)的极值联动无显著影响。本文研究结果为组合投资者的风险控制和市场管理者的政策制定提供参考依据。
[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.
【作者单位】：上海财经大学金融学院;上海工程技术大学管理学院;
【分类号】：F224;F832.51

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