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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/78389


    Title: 我國股市收益率非對稱特征及其產生機制的實證研究
    Authors: 方立兵;郭炳伸;曾勇
    Fang, Libing;Biingshen, Kuo;Yong, Zeng
    Contributors: 國際經營與貿易學系
    Keywords: 非對稱收益率;偏斜;波動率反饋;信念差異
    Date: 2008
    Issue Date: 2015-09-11 15:31:19 (UTC+8)
    Abstract: 票市場通常易于發生大幅下跌而非上漲,即指數收益率的分布往往具有負偏斜的非對稱特征。本文利用自回歸條件密度方法,對我國股市指數收益率的非對稱特征及其產生機制進行了實證研究。結果表明:(1)上證指數和深圳綜指的收益率偏斜具有顯著的時變特征;(2)收益率的負偏斜可以部分地被"波動率反饋"效應所解釋;(3)不允許賣空的交易機制所引起的"利空信息揭示"效應也是收益率表現出負偏斜特征的另一個重要因素。
    Relation: 第三屆（2008）中國管理學年會——創業與中小企業管理分會場論文集,2008,4788-4796
    Data Type: conference
    Appears in Collections:[Department of International Business] Proceedings

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