调控政策对中国股市波动效应的实证研究—基于函数型数据视角的分析

Empirical Study for the Impacts Results from Policy Adjustment on Chinese Stock Market Oscillate: Based on the Perspective of the Functional Data Analysis

范霄文(Xiao-Wen Fan) ； 朱建平(Jian-Ping Zhu)

《Journal of Data Analysis》 3卷2期 (2008/04) Pp. 145-156

https://doi.org/10.6338/JDA.200804_3(2).0009

摘要

本文应用函数型数据分析模型，对沪市指数的动态变化进行了实证分析，采用相平面图，从股指变动的速度和加速度考察政府调控政策对沪市的影响。实证分析结果说明调控政策对股市波动或多或少都具有一定的影响，影响的大小随股市所处的行情而不同。

關鍵字

函数型数据 ； 股市调控政策 ； 相平面图

並列摘要

This article application functional data analysis model, has carried on the empirical analysis to the Shanghai index dynamic change. Uses Phase-plane plot, refers to the change from the stock the speed and the acceleration inspection government regulates the policy to the Shanghai influence. The Empirical analysis result showed the regulative policy undulates more or less to the stock market all has the certain influence, affects size the quotation which locates along with the stock market but is different.

並列關鍵字

Functional Data ； Stock Market ； Phase-plane plot

參考文獻

Ramsay, J.O.,Silverman, B.W.(1997).Fuctional Data Analysis.New York:Springer-Verlag.

Ramsay, J.O.,Silverman, B.W.(2002).Applied Fuctional Data Analysis.New York:Springer-Verlag.