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dc.contributor.advisor王起
dc.contributor.author缪丽
dc.date.accessioned2016-02-14T08:08:51Z
dc.date.available2016-02-14T08:08:51Z
dc.date.issued2011-09-16 15:04:46.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/49488
dc.description.abstract研究表明不同国家或者地区之间的股票市场收益率之间会或多或少的存在一定的联动关系。由于投资者可以通过分散化投资相关性较低的资产来降低整体投资组合的风险,所以研究不同市场之间的收益相关性有较强的意义。本文将选择中国内地和中国香港两个市场作为样本。以往的研究一般都是将收益率作为整体考虑来研究市场之间的相关性,而在本文中,我们将收益率分解为现金流信息以及折现率信息来分别研究这两种信息之间的相关性。其中,现金流信息反映公司基本面信息,而折现率信息反映市场行情,所以将收益率分解为两部分分别分析相关性可以给投资者提供更多的指导信息。 本文采用Campbell和Vuolteenaho(2004)提出的VAR...
dc.description.abstractResearch shows that the stock market return between different countries or districts can have some comovements more or less. Since investors can decrease portfolio risk through investing less correlated assets, research about the correlation between different markets can be meaningful for them. In this paper, the author chooses China mainland and Hong Kong markets as sample. Comparing with conside...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=28372&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=32514
dc.subject现金流信息
dc.subject折现率信息
dc.subject多元GARCH模型
dc.subjectCash Flow News
dc.subjectDiscount Rate News
dc.subjectMultivariate GARCH
dc.title中国内地和香港股市收益相关性的两成分法分解
dc.title.alternativeTwo Factor Decomposition Analysis for Correlation Between China Mainland and Hong Kong Stock Market
dc.typethesis
dc.date.replied2011-07-22
dc.description.note学位:经济学硕士
dc.description.note院系专业:王亚南经济研究院_数量经济学
dc.description.note学号:27720081152907


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