股票价格数据的平稳性分析——基于内生结构突变的实证
摘要
A股市场价格数据波动研究通常采用市场指数抽样分析,研究结论大多将价格数据视为非平稳过程。市场指数是系列成分股的加权组合,其价格波动与个股价格波动是否存在一致性仍需验证。本文采用傅里叶级数拟合上市公司股票价格数据,把对突变位置和突变方式的估计转化为恰当频率选择问题,根据拟合残差平方和最小化的原则求解最优频率,开展内生突变检验和分析。对A股市场上市公司股票价格数据的实证表明:上市公司股票价格数据的平稳性特征存在显著差异,对股票价格数据生成过程的认知理念应该区别对待。
引文
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[19]管河山,邹清明,邓灵斌,时间序列平稳性分析的自动机制研究,南华大学学报,2010,11(3):41-43.
[20]管河山,邹清明,罗智超,时间序列平稳性分类识别研究,统计与信息论坛,2016,31(4):3-8.
[2]佟孟华,钟春仿,郭多祚.结构突变及其对上证指数的实证研究,财经问题研究.2004,(3):76-79.
[3]巴曙松,覃川桃,朱元倩.中国股票市场与房地产市场的联动关系,系统工程.2009,27(9):22-28.
[4]杨利雄,张春丽,基于傅里叶变换的含确定性趋势结构突变的协整回归模型和不等方差检验[J].统计研究,2014,3(11):96-100.
[5]韩青.中国宏观经济时序的平稳性再考察_内生突变与平滑转换,经济学(季刊).2015,14(2):801-826.
[6]张虎,李玮,郁婷婷,我国金融数据高频收益率波动结构突变的检测研究[J].数量经济技术经济研究,2011,(7):50-63.
[7]张阳,内生结构突变理论与应用研究[J].南开大学博士论文,2013.
[8]姚宏伟.股票市场的波动性存在结构突变吗_来自沪深股市的实证分析[J].贵州财经大学学报.2014,(2):43-49.
[9]Nelson,C.R.,C.I.Plosser,Trends and Random Walks in Macroeconomic Time Series:Some Evidence and Implications[J].Journal of Monetary Economics,1982,10,139~162.
[10]Perron,P.,The Great Crash,the Oil price Shock and the Unit root Hypothesis[J].Econometrica,1989,57,1519~1554.
[11]Christiano,L.J.,Searching for a Break in GNP[J].Journal of Business and Economic Statistics,1992,10,237~250.
[12]Zivot,E.,D.Andrews,Further Evidence on the Great Crash,the Oil price Shock and the Unit root Hypothesis[J].Journal of Business and Economic Statistics,1992,10,251~270.
[13]Banerjee,A.,R.L.Lumsdaine,J.H.Stock,Recursive and sequential tests of the unit root and trend break hypothesis:theory and international evidence[J].Journal of Business and Economic Statistics,1992,10,271~287.
[14]Perron,P.,Further evidence on breaking trend functions in macroeconomic variables[J].Journal of Econometrics,1997,80,355~385.
[15]Becker,W.Enders,J.Lee.A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks[J].Journal of Time series Analysis.2006,(27):381~409.
[16]Eners.w.,J.Lee.A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks[J].Oxford Bulletin of E-conomics and Statistics,2012,74(4):574-599.
[17]Paulo M.M.Rodrigues,A.Taylor,The Flexible Fourier Form and Local Generalised Least Squares De‐trended Unit Root Tests[J].Oxford Bulletin of Economics and Statistics,2012,74(5):736-759.
[18]周少甫,左秀霞.时间趋势平稳性检验的带宽选择及其影响[J].统计研究.2012,29(4):98-103.
[19]管河山,邹清明,邓灵斌,时间序列平稳性分析的自动机制研究,南华大学学报,2010,11(3):41-43.
[20]管河山,邹清明,罗智超,时间序列平稳性分类识别研究,统计与信息论坛,2016,31(4):3-8.