经济与管理研究
經濟與管理研究
경제여관리연구
RESEARCH ON ECONOMICS AND MANAGEMENT
2014年
10期
45-52
,共8页
股票市场%牛市%熊市%马尔科夫区制转移模型%平滑概率
股票市場%牛市%熊市%馬爾科伕區製轉移模型%平滑概率
고표시장%우시%웅시%마이과부구제전이모형%평활개솔
Stock Market%Bull Market%Bear Market%Markov Regime-Switching Model%Smoothing Probabilities
本文运用马尔科夫区制转移模型描述和研究中国股票市场综合指数日收盘价序列的动态轨迹，以此来研究中国股市的牛、熊市周期。实证结果表明，上证和深证综合指数日收盘价在不同的区制状态下均可以表现出较为显著的持续性特征，上证和深证的牛、熊市区间具有明显的协同性。同时发现，中国的经济政策操作与股票市场价格波动及股票市场区制的阶段性转变之间具有明显的相关性。
本文運用馬爾科伕區製轉移模型描述和研究中國股票市場綜閤指數日收盤價序列的動態軌跡，以此來研究中國股市的牛、熊市週期。實證結果錶明，上證和深證綜閤指數日收盤價在不同的區製狀態下均可以錶現齣較為顯著的持續性特徵，上證和深證的牛、熊市區間具有明顯的協同性。同時髮現，中國的經濟政策操作與股票市場價格波動及股票市場區製的階段性轉變之間具有明顯的相關性。
본문운용마이과부구제전이모형묘술화연구중국고표시장종합지수일수반개서렬적동태궤적，이차래연구중국고시적우、웅시주기。실증결과표명，상증화심증종합지수일수반개재불동적구제상태하균가이표현출교위현저적지속성특정，상증화심증적우、웅시구간구유명현적협동성。동시발현，중국적경제정책조작여고표시장개격파동급고표시장구제적계단성전변지간구유명현적상관성。
This paper uses Markov regime-switching model to investigate the dynamic path of day’s closing price of composite index in the Chinese stock market,in order to analyze the operation cycles of the bull and bear markets in China.According to the empirical results,the time series of day’s closing price can be divided into ‘low price’regime and ‘high price’regime,and Shanghai and Shenzhen composite indexes in the different regimes are able to reflect the obvious sustaining characteristics.At the same time,there is obvious collaborative between Shanghai and Shenzhen composite indexes.Moreover,there is obvious correlation between China’s economic policy mechanisms and the different regimes of day’s closing price of composite index in China’s stock market.
