论文部分内容阅读
利用马尔科夫状态转移.ARCH模型(SWARCH)来研究中国股票市场行业板块的波动性和相关性.首先对证监会划分的18个一级行业进行初步分析,建立单变量SWARCH模型,发现中国股票市场各行业板块均能够显著地分为高波动和低波动两个区制;接着利用双变量SWARCH模型对行业板块间的相关性进行研究,发现各行业板块之间的相关性在高波动区制显著高于低波动区制.所得的研究结论可以为投资者提高投资组合收益率提供参考依据.
Using Markov’s state transfer (ARCHARCH) model (SWARCH) to study the volatility and correlation of China’s stock market sector.Firstly, a preliminary analysis of the 18 sub-sectors identified by the Commission, the establishment of single-variable SWARCH model and found that Chinese stocks The market sector can be significantly divided into two high-volatility and low volatility of the two systems; and then use the two-variable SWARCH model to study the correlation between the industry sectors and found that the correlation between the various sectors in the high fluctuation zone system Significantly higher than the low volatility regime.The conclusions of the study can provide investors with reference to improve the return on investment portfolio.