NONLINEAR TESTS FOR THE STOCK MARKET INDEXES: EVIDENCE FROM CHINA

机译：股票市场指数的非线性检验：来自中国的证据

获取原文

获取原文并翻译 | 示例

页面导航

摘要
著录项
相似文献
相关主题

摘要

It is well recognized that any successful use of the powerful tools from dynamical systems theory in modeling financial time series is predicated upon establishing that the series is indeed nonlinear. We apply a battery of nonlinear tests to Shanghai Stock Index and Shenzhen Stock Index, both in Mainland China, to determine whether China stock indices are linear. In the way of a comparative study we also test for nonlinearity of the NASDAQ index.The empirical results based on all nonlinearity tests used in this paper reject the null hypothesis of linearity of the series. The presence of nonlinear patterns in the stock indices, however, does not provide information on whether the series are deterministic or stochastic.

机译：众所周知，在确定金融时间序列确实是非线性的基础上，成功地使用了动力学系统理论中的强大工具就可以建立金融时间序列的模型。我们对中国大陆的上海股票指数和深圳股票指数进行了一系列非线性测试，以确定中国股票指数是否为线性。通过比较研究，我们还测试了纳斯达克指数的非线性。本文基于所有非线性测试的经验结果拒绝了该系列线性的零假设。但是，股指中存在非线性模式并不能提供有关该序列是确定性还是随机性的信息。

著录项

来源
《The Fourth International Conference on Systems Science and Systems Engineering (ICSSSE'03); Nov 25-28, 2003; Hong Kong SAR, China》|2003年|p.440-445|共6页
会议地点 Hong Kong(CN);Hong Kong(CN)
作者
Wei Huang; A. Soofi; Shou-Yang Wang; Ying Wu;
展开▼
作者单位

School of Knowledge Science Japan Advanced Institute of Science and Technology, 1-1, Asahidai, Tasunokuchi, Ishikawa, 923-1292, Japan;

展开▼
会议组织
原文格式 PDF
正文语种 eng
中图分类 N9;
关键词
nonlinear test; shanghai stock index; shenzhen stock index;

机译：非线性检验;上海股票指数;深圳股票指数;

相似文献

外文文献
中文文献
专利

1. Are Chinese Stock Markets Efficient? Further Evidence From A Battery Of Nonlinearity Tests [J] . Kian-Ping Lim, Robert Brooks Applied financial economics . 2009,第1a3期

机译：中国股市有效吗？一系列非线性测试的进一步证据
2. Do fundamental indexes produce higher risk-adjusted returns than market cap indexes? Evidence for European stock markets [J] . Olaf Stotz, Gabrielle Wanzenried, Karsten Döhnert Financial Markets and Portfolio Management . 2010,第3期

机译：基本指数是否比市值指数产生更高的风险调整后收益？欧洲股市的证据
3. Analysis and comparison of the multifractality and efficiency of Chinese stock market: Evidence from dynamics of major indexes in different boards [J] . Han Chenyu, Wang Yiming, Ning Ye Physica, A. Statistical mechanics and its applications . 2019,第期

机译：中国股市多重性与效率的分析与比较：不同董事会主要指标动态的证据
4. NONLINEAR TESTS FOR THE STOCK MARKET INDEXES: EVIDENCE FROM CHINA [C] . Wei Huang, A. Soofi, Shou-Yang Wang, International conference on systems science and systems engineering . 2003

机译：股票市场指标的非线性测试：来自中国的证据
5. Issues of market efficiency in the Chinese stock markets: I. Day-of-the-week effect, month-of-the-year effect and turn-of-the-month effect in China's stock markets. II. Are the two stock markets (Shanghai and Shenzhen) in China integrated or segmented? III. The effects of re-imposing a 10% price limit on the Chinese stock markets. [D] . Feng, Licheng. 1999

机译：中国股票市场的市场效率问题：I.中国股票市场的周日效应，月度效应和月度效应。二。中国的两个股票市场（上海和深圳）是整合还是细分？三，重新对中国股市施加10％的价格限制的影响。
6. Nonlinear relationship between money market rate and stock market liquidity in China: A multifractal analysis [O] . Yihong Sun, Xuemei Yuan, J E. Trinidad Segovia, 2021

机译：中国货币市场率与股票市场流动性的非线性关系：多重分析
7. Does the Mainland China's stock market impact on its neighboring countries' and regions' stock markets?--An empirical study from the views of Stock Indexes and their Returns [O] . 胡泰华 2016

机译：中国大陆的股票市场是否会影响周边国家和地区的股票市场？-基于股票指数及其收益率的实证研究

NONLINEAR TESTS FOR THE STOCK MARKET INDEXES: EVIDENCE FROM CHINA

摘要

著录项

相似文献

相关主题

期刊订阅