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中国股市价格的跳跃行为:基于上证综指高频数据的参数分析

Author

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  • 马成虎
  • 汪先珍

Abstract

本文以2001年3月1日至2008年2月29日的上证综指5分钟高频数据为基础,在参数模型框架内探讨了中国股市价格的跳跃行为。我们讨论了跳跃及一般几何Levy过程的性质,推导了最常见的跳跃-扩散模型的矩条件,并据此估计出了模型参数;此外分别通过Monte-Carlo模拟和Laplace逆变换得到了收益率的概率分布,并分析了跳跃过程对其的影响。我们的主要发现是上证综指确实存在跳跃,而且跳跃次数相当可观;引入了跳跃的几何Levy过程可以在一定程度上刻画“尖峰厚尾”现象,但对收益率分布特征的捕捉仍然有待改进;而且该模型在短期高估了跳跃的发让,在长期内又会低估。

Suggested Citation

  • 马成虎 & 汪先珍, 2013. "中国股市价格的跳跃行为:基于上证综指高频数据的参数分析," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  • Handle: RePEc:wyi:wpaper:002003
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    Keywords

    股份行为;跳跃;高频数据;矩估计;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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