中国股票市场资产价格模型设定检验

中国管理科学 ›› 2014, Vol. 22 ›› Issue (2): 16-23.

中国股票市场资产价格模型设定检验

沈根祥^1,2, 胡志军³

1. 上海财经大学经济学院, 上海 200433;
2. 上海财经大学数理经济学教育部重点实验室, 上海 200433;
3. 江西财经大学金融学院, 江西南昌 330013

收稿日期:2012-04-06 修回日期:2013-03-16 出版日期:2014-02-20 发布日期:2014-02-18
基金资助:
教育部人文社科研究资助项目（13YJA790095）；上海财经大学“211工程”四期重点学科建设项目资助；上海财经大学数理经济学教育部重点实验室开放课题资助（201301KF01）

Model Specification for the Price Processes in China Stock Market

SHEN Gen-xiang^1,2, HU Zhi-jun³

1. Economics School, Shanghai University of Finance and Economics, Shanghai 200433, China;
2. Key Laboratory of Mathematical Economics, Ministry of Education, Shanghai University of Finace and Economics, Shanghai 200433, China;
3. Jiangxi University of Finance and Economics Finance Institute, Nanchang 330013, China

Received:2012-04-06 Revised:2013-03-16 Online:2014-02-20 Published:2014-02-18

摘要/Abstract

摘要： 正确设定股票市场资产价格动态模型对资产定价、投资组合和风险管理具有基本重要性。本文基于随机过程非参数统计推断方法，采用幂变差和门限幂变差构造检验统计量，首次对我国股票市场资产价格半鞅的构成进行检验和分析。采用上证指数、深证成指和沪深300指数日内高频数据的实证结果表明，我国股票市场资产价格过程包含布朗运动积分形成的扩散过程和跳过程，既包含有限活动Poisson大跳过程也包含无限活动Levy小跳过程。在跳扩散过程中引入无限活动Levy跳跃过程才能全面刻画我国股票市场资产价格的动态特征。这一结果为相关研究提供了基础性实证结论。

关键词: 半鞅过程, 布朗运动, 泊松跳过程, 列维跳过程

Abstract: With nonparametric methods for stochastic process inference based on high-frequency financial data developed recent years, model specification tests for price process in China stock market are implemented in this paper. The test statistics are built based on the asymptotic behaviors of realized power variation and realized threshold power variaton with different power, threshold and sampling frequency. Evidences from empirical studies on Shanghai Stock Exchange Index, Shenzhen Stock Exchange Component Index, and CSI300 imply that processes for these three indices in China Stock Market all contain Brownian motion diffusion, Poisson jump process and Levy jump process. These results provide foundational and empirical conclusiom for relative researches.

Key words: semimartingale, Brownian motion, Poisson jump, levy jump

中图分类号:

F830.9

沈根祥, 胡志军. 中国股票市场资产价格模型设定检验[J]. 中国管理科学, 2014, 22(2): 16-23.

SHEN Gen-xiang, HU Zhi-jun. Model Specification for the Price Processes in China Stock Market[J]. Chinese Journal of Management Science, 2014, 22(2): 16-23.

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