作　　者： ; ;

机构地区： 暨南大学经济学院

出　　处： 《上海金融》 2013年第3期78-84,118,共7页

摘　　要： 上证指数在2006-2008年发生巨幅振荡,无论其波动幅度和速度都是罕见的,是一种重要的和特殊的波动情形,但普遍被国内研究忽视,本文基于Perron方法解释这一现象。结果发现上证指数自1996年以来出现了5个趋势突变点,其单整类型在多数时间为单位根过程,但在2006-2008年的巨幅振荡期间转变为稳定过程,因此股指会沿确定趋势上升足够大幅度,转折后导致巨幅波动。由于"Perron现象"的存在,以往通过股指收益率分析股市波动性的文献可能检测到了"虚假"的ARCH现象,关于GARCH模型预测能力较差的结论也是不确切的。另外,上海股市的主要趋势突变点反映了国际事件的重要影响。 From 2006 to 2008,Shanghai Composite Index experienced huge volatility,which showed rare extent and speed,but this important and special kind of fluctuation was generally neglected.This paper uses Perron's method to explain this phenomenon.The results show there are five trends break points for the Shanghai Composite Index since 1996.The integer type in most time was a unit root process,but turned to a stable process during period of 2006-2008,which allowed the index to rise enough along a significant trend,leading to huge fluctuations after trend break.Due to the presence of the 'Perron phenomenon',prior literature analyzing stock market through index returns may detect 'false' ARCH phenomenon,and conclusions that the predictive ability of the GARCH model is poor is also inaccurate.In addition,the Shanghai stock market trends mutations reflect the impact of international events.

关 键 词： 检验 结构突变 上证指数 巨幅波动 美国金融危机

领　　域： [经济管理]