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| 中国股票市场星期效应的实证分析--主成份分析 | |
| 引用本文： | 任燕燕,刘锦萼,胡金焱.中国股票市场星期效应的实证分析--主成份分析[J].经济数学,2001,18(2):56-61. |
| 作者姓名： | 任燕燕 刘锦萼 胡金焱 |
| 作者单位： | 1. 济南大学数学系,250014 2. 山东大学数学与系统科学学院,济南,250100 3. 山东大学经济学院,济南,250100 |
| 摘 要： | 本文利用主成份分析的方法,构造代表中国股市日收益率波动的第一主成份序列,通过对这一序列的残差进行自相关性与异方差性检验,选用(A(2)-A(1))～GARCH模型,分析中国股票市场"星期效应"的存在性与特征. |
| 关 键 词： | 主成份分析 自相关 异方差 GARCH模型 |
| 修稿时间： | 2000年10月18 |
ANALYSING WEEKLY EFFECT OF CHINESE STOCK MARKET THROUGH PRINCIPAL FACTOR ANALYSIS |
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| Ren Yan-yan Liu Jin-e.ANALYSING WEEKLY EFFECT OF CHINESE STOCK MARKET THROUGH PRINCIPAL FACTOR ANALYSIS[J].Mathematics in Economics,2001,18(2):56-61. | |
| Authors: | Ren Yan-yan Liu Jin-e |
| Abstract: | In this paper, method of the Principal Component Analysis is used to make the first principal component series. It represents the general fluctuation of chinese stock market. The test of autoregression and heteroskedastion is made for the series,so the model of (A(2)-A(1)~GARCH is chosen. The existence and character of weekend effect about chinese stock market is got through analysing the series. |
| Keywords: | Principal component analysis autoregression heteroskedastion GARCH model |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |