管河山,闫文玉,王谦.A股价格波动真的非平稳? ——大数据背景下个股数据的全样本实证[J].,2018,(6):81-88
A股价格波动真的非平稳? ——大数据背景下个股数据的全样本实证
Is the Price Volatility of China's A Share Market Really Nonstationary?
投稿时间:2018-07-06  
DOI:
中文关键词:  市场指数  个股  价格  平稳性分析
English Keywords:market index  individual stock  price  stationarity analysis
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作者单位
管河山 南华大学 经济管理与法学学院,湖南 衡阳421001 
闫文玉 南华大学 经济管理与法学学院,湖南 衡阳421001 
王谦 南华大学 经济管理与法学学院,湖南 衡阳421001 
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中文摘要:
      传统研究对股票市场平稳性分析中大多采用市场指数抽样方式,分析方法和数据采样的差异一定程度上解析了现有研究结论中的不一致性。从市场指数构建原理入手可探究抽样分析的局限,作为系列个股的加权值,市场指数无法精确刻画市场所有个股的波动情况。实证时采用A股市场所有个股数据开展全样本分析,这更符合大数据分析理念,统计出个股分析结果继而对A股市场波动进行判定将更加系统和可靠。在不考虑结构突变的情形下,分别计算出ADF检验、KPSS检验和PP检验三种方法的结果;全样本分析结果表明A股市场年度股价数据更多地呈现出平稳性特点,而且,个股数据检验结果与市场指数检验结果存在显著差异。
English Summary:
      The traditional research on the stock market stability analysis mostly uses sampling mode of the market index, so the differences between analysis method and data sampling to some extent give an explanation to the inconsistency of existing research conclusions. Starting with the principle of market index construction, the paper analyzes the limitation of sampling method. As a weighted value of a series of individual stocks, market index may not accurately depict the fluctuation of all individual stocks in the market.In order to be more in line with big data's analysis concept, the article uses all the A-share market data in China to carry out full-sample analysis, and work out all individual stock results which be more systematic and reliable to judge the fluctuation of A-share market. And then the results of ADF test, KPSS test and PP test were calculated without considering the structural mutation. The results of full-sample analysis show that the annual stock price data of A-share market present more stationary, moreover, the test results of individual stock data are significantly different from the market index's.
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