摘要
针对中国股票型开放式基金收益波动中是否存在杠杆效应的问题,在对该类基金整体及所选取的三支具有代表性的单个基金分析的基础上,运用一个带杠杆效应的SV模型对其收益的波动性建模,并利用MCMC方法对模型进行参数估计。结果显示:不同于一般对股票市场的研究结论,无论股票型开放式基金整体还是单个基金,其收益率序列的波动中均不存在显著的杠杆效应。
For the issue whether the leverage effect of return’s volatility of China’s equity mutual funds is existence,based on the analysis of funds as a whole and the selected three representative single fund,this paper uses a SV model with leverage effect to model volatility of above funds’return series,and adopts Markov chain Monte Carlo（MCMC）method to estimate model’s parameters.It shows that unlike the general conclusion of the study on the stock markets,whether it is the whole of equity mutual funds or a single fund,the volatility of return series don’t exist in a significant leverage effect.
出处
《统计与信息论坛》
CSSCI
2010年第8期64-69,共6页
Journal of Statistics and Information
基金
上海市教育委员会科研(创新)项目<金融异象与市场演化:基于主体的股票市场模拟及实证>(09ZS69)
