基于局部多项式核估计的股市泡沫测度

发布时间：2018-03-18 18:37

本文选题：股市泡沫　切入点：理论收益率　出处：《财经论丛》2010年03期 　论文类型：期刊论文

【摘要】：本文根据我国股市非市场化特点与股权分置改革影响等问题,在股票市场价格严重失真情况下,运用局部多项式核估计方法,拟合了股市理论收益率指标,通过对比股市实际收益率指标显著性偏离关系,提出了我国股市的泡沫理论与计量方法。实证显示:局部多项式核估计能很好地估计股市理论收益率指标,准确计量我国股市泡沫动态变化情况。
[Abstract]:According to the characteristics of non-marketization of stock market in China and the influence of the reform of split share structure, this paper applies the method of local polynomial kernel estimation to fit the theoretical return index of stock market under the condition of serious distortion of stock market price. By comparing the significant deviation relationship of the real return index of stock market, this paper puts forward the bubble theory and measurement method of stock market in China. The empirical results show that the local polynomial kernel estimation can estimate the theoretical return index of stock market very well. Accurate measurement of China's stock market bubble dynamic changes.
【作者单位】：浙江财经学院数学与统计学院;浙江财经学院金融学院;
【基金】：教育部人文社会科学研究规划基金资助项目(08JA790118)
【分类号】：F832.51;F224

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