中国股市周期性研究及其价格监控
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引用本文:黄时文1,柴啸龙2, 林晓瑜2.中国股市周期性研究及其价格监控[J].经济数学,2019,(3):16-20
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黄时文1,柴啸龙2, 林晓瑜2 (1.广东财经大学 金融学院广东 广州 5103202.广东财经大学 统计与数学学院广东 广州 510320) 
中文摘要:对股市周期性和股市价格的监控和预警的研究有利于给予投资者相关的信息.为了探究股票市场的周期性,引入带虚拟变量的ARMA-TGARCH-M模型来研究中国股市的周期性.为了对股票市场进行监控和预警,利用基于ARMA-TGARCH-M模型的残差控制图来实现对股票市场的监控和预警.实证结果发现:中国股市存在着显著的正的周一和周二效应,这主要是由于周一和周二在消化周末所发布的信息导致的.通过残差控制图对超过控制限的点进行分析发现基于ARMA-TGARCH-M模型的控制图能够很好地捕捉到股票市场的不受控状态.
中文关键词:数量经济学  ARMA-TGARCH-M模型  残差控制图  过程监控  周期性
 
The Research of the Periodicity of Chinese Stock Market and the Monitoring of Its Price
Abstract:The research on the periodicity of the stock market and the monitoring or warnings of stock prices are helpful for providing investors relevant information. In order to explore the periodicity of the stock market, this paper introduces ARMA-TGARCH-M model with dummy-variables to study the periodicity of Chinese stock market. The residuals control chart based on ARMA-TGARCH-M model has been used to monitor the stock market. Empirical study shows that there is a significant positive Monday and Tuesday effect in Chinese stock market, which is mainly caused by the digestion of weekend’s information on Monday and Tuesday. It is found that the residuals control chart based on ARMA-TGARCH-M model can capture the uncontrolled state of stock market well. 
keywords:Quantitative economic  ARMA-TGARCH-M Model  Residuals Control Chart  Process Monitoring  Periodicity
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