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我国股票市场的涨跌幅限制有效性研究——基于Wilcoxon秩和检验与A-CARCH模型框架下的分析 被引量:2

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摘要 根据大盘指数波动特征,利用非参数统计方法中的Wilcoxon秩和检验,分别从短期和长期两个方面对股票市场涨跌幅限制的有效性进行了检验,结果表明,无论从短期还是从长期来看,涨跌幅限制对上证指数都发挥了其特有的稳定效应,但从长期来看,实施涨跌幅限制的股市波动性要显著小于未实施涨跌幅限制的波动性。
作者 于扬
出处 《经济论坛》 2013年第8期81-83,共3页 Economic Forum
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