论文部分内容阅读
股票价格暴涨暴跌会对国家金融秩序稳定造成严重冲击。本文基于1992年5月22日至2016年6月30日间沪市价格数据样本,引入总体经验模式分解(EEMD)方法,通过结构向量自回归动态分析发现:(1)上证价格波动存在由高频分量、低频分量和趋势项分量组成的复杂的内在频率结构;(2)上证价格异常随机大幅波动由高频分量变动引起,其主要受投资者信心影响;(3)针对价格波动高频分量,加大投资者信心管理,形成合理预期,是当前抑制价格暴涨暴跌、稳定市场运行秩序的有效策略。
The skyrocketing stock prices will have a serious impact on the stability of the country’s financial order. Based on the sample data of Shanghai stock market from May 22, 1992 to June 30, 2016, the EEMD method is introduced. Through the structural vector autoregressive dynamic analysis, it is found that: (1) the price volatility of Shanghai Stock Exchange fluctuates from high Frequency components, low-frequency components and trend components of the composition of the complex internal frequency structure; (2) abnormal fluctuations in the Shanghai stock price volatility caused by changes in high-frequency components, which are mainly affected by investor confidence; (3) for high-frequency component of price fluctuations , Increasing investor confidence management and forming a reasonable expectation are the effective strategies to curb the ups and downs in price and to stabilize the operation of the market.