题名

基於危險率函數變點模型的中國股票市場泡沫檢驗

并列篇名

Testing of Bubbles in China's Stock Market Based on Change Point Model of Hazard Function

DOI

10.6704/JMSSD.2009.6.2.18

作者

楊勇(Yong Yang)；葉五一(Wu-Yi Ye)；繆柏其(Bai-Qi Miao)

关键词

股市泡沫 ； 危險率函數 ； 變點檢測 ； 持續期分析 ； Stock Bubbles ； Hazard Function ； Change Point Testing ； Duration Analysis

期刊名称

管理科學與統計決策

卷期/出版年月

6卷2期（2009 / 06 / 01）

页次

18 - 25

内容语文

繁體中文
中文摘要

股市泡沫的分析是經濟領域中的重要問題，本文借鑒持續期的思想，首次從Logistic危險率函數的變點檢測角度出發，檢驗了中國股市的理性投機泡沫的存在性。由變點將資料進行分段，避免了以前的分段方法所帶來的人為性，提供了一個研究股市泡沫的新的方法。最後對代表中國滬深兩市的滬深300指數進行了實證研究，得到了有意義的結論。
英文摘要

Testing of rational speculative bubbles in stock market is a key issue in economic analysis. In this paper, the duration analysis method is used, and the existence of bubbles in China's stock market is tested by the change point model of Logistic hazard function. The data is divided by the change point obtained from our model, and thus the arbitrariness of separating sample by subjective judgment can be avoided. Finally, an empirical study of SHSZ300 index is conducted and a significant result is obtained.
主题分类 基礎與應用科學 > 統計
社會科學 > 管理學
参考文献
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