摘要
本文以量化分析为手段,借助条件异方差模型对2007年至2009年中国A股市场的所有金融股的收盘价格、季度每股收益等指标进行分析,比较此类股票在美次贷危机事件窗中的风险绩效变化,以及不同行业间风险绩效的异同,找出了其中的某些规律。
This paper employs a quantitative method,mainly with GARCH Model,to analyze the closing price and quarterly earnings per share of all the financial stocks in Chinese A-share market.Then a comparison is made between the return and risk of these stocks before the crisis and that during the crisis.Meanwhile,a contrast is made to find out the differences between different kinds of industries.As a result,some useful information can be obtained for the research.
出处
《重庆三峡学院学报》
2009年第5期51-54,共4页
Journal of Chongqing Three Gorges University
关键词
金融股
美次贷危机
条件异方差模型
风险水平
收益水平
financial stocks
United State’s sub-loan crisis
GARCH Model
risk level
return level
