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深圳股票市场杠杆效应研究 被引量:7

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摘要 本文应用EGARCH-M模型对深圳股票市场的杠杆效应进行了实证分析,结果表明,深圳市场的收益率有效测度了风险因素,并发现当市场面临信息冲击时,坏消息对市场的冲击大于好消息,即存在显著负的杠杆效应。在进行分段回归后,显示杠杆效应随时间变化,由初期的负的杠杆效应变化为正的杠杆效应。最后结合我国股票市场特征进行了理论解释。
作者 蒋天虹
出处 《财经问题研究》 CSSCI 北大核心 2008年第2期71-75,共5页 Research On Financial and Economic Issues
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