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本文讨论了我国股票价格波动性形成的机制,对波动性的成因进行了分析。通过计量模型对我国六家商业银行股票的波动性进行了实证分析,建立计量模型验证了我国商业银行股票数据(2006-2013)存在明显的异方差性,并对时间序列进行了分析和比较。该研究对于了解我国股票市场及商业银行类相关股票的风险具有一定参考价值。
This article discusses the mechanism of the formation of the stock price volatility in our country and analyzes the causes of the volatility. Empirical analysis of the volatility of the six commercial banks’ stock in China by using the econometric model shows that the econometric model validates the significant heteroscedasticity of China’s commercial bank’s stock data (2006-2013), and analyzes and compares the time series. This research has some reference value to understand the risk of stock in China’s stock market and commercial banks.