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从证券投资风险发生的信息角度,利用风险分解方法研究了证券市场里的信息结构问题。使用了条件风险价值作为风险计量方法,并将风险发生的信息机制分解为公共信息效应和私有信息效应,利用信息分布函数来标识不同信息的分布状况。通过计算公共信息指数和私有信息指数,利用中国股票市场的实际数据,对中国的证券市场的信息结构问题进行了研究。
From the perspective of the information of securities investment risk, this paper studies the information structure in securities market by means of risk decomposition method. Conditional VaR is used as risk measurement method, and the risk information mechanism is decomposed into public information effect and private information effect, and the information distribution function is used to identify the distribution of different information. By calculating the public information index and private information index, we use the actual data of China’s stock market to study the information structure of China’s securities market.