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文章利用信息交易量得到投资者异质信念的代理变量,给出一个包含投资者异质信念的GARCH(1,1)模型。该模型的估计结果表明,上海证券市场与纽约证券市场上都存在明显的投资者异质信念现象,且异质信念显著放大了中、美证券市场上的投资风险。
Abstract：This paper applies information trade volume to obtaining a proxy variable for measuring investors' disagreement,which is further modeled by giving a GARCH(1,1) process with disagreement.Empirical results show that there are obvious disagreements in both Shanghai and New York stock market,and the disagreements have significantly enlarged investment risks in Chinese and American markets.
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基本信息:
DOI：10.14134/j.cnki.cn33-1336/f.2011.06.001
中图分类号:F224;F832.51
引用信息:
[1]赵国庆,尹慧.一个包含异质信念的GARCH模型[J].商业经济与管理,2011,No.236(06):89-94.DOI:10.14134/j.cnki.cn33-1336/f.2011.06.001.
基金信息:
中国人民大学“985”工程“中国经济研究哲学社会科学创新基地”项目(10XNK060)
2011-06-15
2011-06-15