系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2015年
1期
49~56
,共null页
系统性跳跃 极值理论 TOD方法 POT方法 尾部跳跃
繫統性跳躍 極值理論 TOD方法 POT方法 尾部跳躍
계통성도약 겁치이론 TOD방법 POT방법 미부도약
systematic jump; extreme value theory; time-of-day method; peak over threshold method; tailjump
将系统性跳跃和异质跳跃视为尾部事件，从极值理论的视角探讨股票收益率分布的尾部特征．利用timeofday（TOD）方法消除高频数据的日内效应，运用指数一个股法’分解系统性跳跃和异质跳跃，并采用peakoverthreshold（POT）方法分别估计它们的左尾和右尾参数．实证研究表明，A股市场日内效应具有明显的“L”型特征，每支股票的系统性跳跃与异质跳跃都是显著存在的，且两类跳跃都具有非常明显的厚尾特征，所有股票的右尾跳跃次数和贡献都大于左尾，这表明，频繁出现的资产价格跳跃及其尾部特征是导致股票收益率非正态分布的一个重要原因．
將繫統性跳躍和異質跳躍視為尾部事件，從極值理論的視角探討股票收益率分佈的尾部特徵．利用timeofday（TOD）方法消除高頻數據的日內效應，運用指數一箇股法’分解繫統性跳躍和異質跳躍，併採用peakoverthreshold（POT）方法分彆估計它們的左尾和右尾參數．實證研究錶明，A股市場日內效應具有明顯的“L”型特徵，每支股票的繫統性跳躍與異質跳躍都是顯著存在的，且兩類跳躍都具有非常明顯的厚尾特徵，所有股票的右尾跳躍次數和貢獻都大于左尾，這錶明，頻繁齣現的資產價格跳躍及其尾部特徵是導緻股票收益率非正態分佈的一箇重要原因．
장계통성도약화이질도약시위미부사건，종겁치이론적시각탐토고표수익솔분포적미부특정．이용timeofday（TOD）방법소제고빈수거적일내효응，운용지수일개고법’분해계통성도약화이질도약，병채용peakoverthreshold（POT）방법분별고계타문적좌미화우미삼수．실증연구표명，A고시장일내효응구유명현적“L”형특정，매지고표적계통성도약여이질도약도시현저존재적，차량류도약도구유비상명현적후미특정，소유고표적우미도약차수화공헌도대우좌미，저표명，빈번출현적자산개격도약급기미부특정시도치고표수익솔비정태분포적일개중요원인．
Considering systematic jumps and heterogeneity jumps as tail events, we discuss the tail characteristics of distribution of stock return from the perspective of the extreme value theory. We use time of day （TOD） method to eliminate intraday effect of high-frequency data, apply index-stock method to decompose systematic jumps and heterogeneity jumps, and the peak over threshold （POT） method to estimate the left tail and right tail parameters. Empirical studies show that the intraday effect of A-share market possesses apparent ＂L＂ type feature. Each stock exists significant systematic and heterogeneity jumps. And the tails of two jump types are obvious thick. The times and contributions of right tail jumps are larger than left in all stocks. This suggests that the frequent appearance of jumps and jump tail characteristics are an important reason for non-normal distribution of stock return.
