中国A股股票相邻两期_系数稳定性的Chow检验

:2004116:(70273060):10021566(2005)06010706AChow赵景文(,,100084,,360015):本文用Chow检验方法研究了中国A股股票相邻两期的系数是否稳定的问题主要的发现有:1对于个股而言,80%以上股票的系数在上半年和下半年是稳定的在扩展检验时期至相邻两年后,股票相邻两期的系数稳定的概率有所降低,但是仍然高于60%;2股票组合系数稳定性的概率超过70%;3股票组合的系数在相邻两期稳定的概率与个股并无显著差异,并且,组合中的股票数量与组合的系数在相邻两期是否稳定的概率并无显著的相关关系:;Chow:O212:AChowTestontheStationarityofChinaAShareListedFirmsCoefficientsintwoSequentialPeriodsZHAOJingwen(SchoolofEconomicsandManagement,TsinghuaUniversity,Beijing,China,100084)Abstract:WeuseChowtestinthispapertocheckwhetherChinaAsharelistedfirmscoefficientsarestationaryintwosequentialperiods.Themainfindingsareinthefollowing:(1)Asforsinglestock,morethan80percentofcoefficientsofsinglestocksarestationaryintwosequentialhalfyears,Whenextendingtestperiodstotwosequentialyears,theprobabilitythatcoefficientsarestationarydecreases,butisstillgreaterthan06.(2)Theprobabilitythatcoefficientsofstockportfoliosarestationaryexceeds07(3)Theprobabilitythatcoefficientsofstockportfoliosarestationaryisnotsignificantlydifferentfromthatofsinglestocks,moreover,thesizeofportfoliosisnotsignificantlycorrelatedwiththeprobabilitythatcoefficientsofstockportfoliosarestationary.Keywords:coefficients;stationarity;Chowtest1,,,,(),,,,107:AChow,Chow(Chow,1960)(1999),19961119961227127,,,199619961995,(1999),,,(1999)12719951996,,,,Chow2A1995-2002,CSMAR,dretwd;(),dretwdeq:(1)t,t=1996,!,2002;(2)tt-1,t=1996,!,2002;(3)t,t=1996,!,2002,:t-2;t200,,Chow:(1)(ttt-1)∀12,RSS1RSS2;,RSS(2)H0:1=2=;F=[RSS-(RSS1+RSS2)]/2(RSS1+RSS2)/(n-2*2)~F(2,n-4),n,005108246200511∀:dretwd=+*dretwdeq331Chow,t11Chow19962872380.82919973102640.85219985074260.84019997135940.83320008127020.86520019007230.803200210218310.814:(1)Chow005;(2)t:t-2;t200;22Chow1996-19952871730.6031997-19963102780.8971998-19975074100.8091999-19987135570.7812000-19998126780.8352001-20009006940.7712002-200110216750.661:(1)Chow005;(2)tt-1:t-2;t200,510152025303540;,1000,3109:AChow3Chow199657630.763107920.792157600.760207670.767257420.742307320.732357270.727407320.732200058730.873108860.886158750.875208690.869258720.872308700.870358920.892408710.871199758740.874108550.855158640.864208580.858258360.836308690.869358390.839408660.866200158240.824108470.847158300.830208200.820258470.847308110.811358430.843408280.828199858160.816108430.843158540.854208380.838258580.858308730.873358230.823408410.841200257650.765107400.740157740.774207740.774257760.776307770.777357930.793407600.760199958290.829108470.847158320.832208310.831258100.810308120.812358250.825408260.826:(1)Chow005;(2)t,:t-2;t200(3),1000,13:(1)80%,,,19962002,70%,1996200260%110246200511(2)19962002,80%70%;80%321,12,,2,,8,,0,Wilcoxon4,40P19960.829-180.00819970.85280.31319980.84040.64119990.833-120.10920000.865180.00820010.803180.00820020.814-180.008:(1)H0:t(P)=t(P)t,8,,P0,H0:P=0,Wilcoxon(2)1333,,pearsonspearmanpearsonspearman,1996,(5)5pearsonspearmanPP1996-0.8450.008-0.8380.0091997-0.3030.466-0.1900.65119980.2390.5680.1900.6511999-0.5270.179-0.6190.10220000.0140.974-0.2140.6102001-0.0480.910-0.0840.84420020.4550.2570.4430.272:(1)3;(2)PP()4ChowA:1111:AChow,80%,,60%;270%;3,,:,80%,,,[][1],.[J].(),1999(4),62~68.[2]Chow,G.C.TestsofEqualityBetweenSetsofCoefficientsinTwoLinearRegressions[J].Econometrica.1960,28,591-605.(106)[][1]Copeland,T.(1976),Amodelofassettradingundertheassumptionofsequentialinformationarrival[J].JournalofFinance31,135-155.[2]Karpof,fJ.M.(1987),Therelationbetweenpricechangesandtradingvolume:asurvey[J].JournaloffinancialQuantitativeAnalysis,22(1),109-126.[3]Epps,T.,andM.Epps(1976),Thestochasticdependenceofsecuritypricechangesandtransactionvoloumes:Implicationsforthemixtureofdistributionhypothesis[J].Econometrica44,305-321.[4]HarrisL.(1986),Crosssecuritytestsofthemixtureofdistributionhypothesis[J].JournaloffinancialandQuantitativeAnalysis,21(1),39-46.[5]JainP,JohG.(1988),Thedependencebetweenhourlypricesandtradingvolume[J].JournalofFinancialandQuantitativeAnalysis,23(2),269-283.[6]SmirlockM,StartksL.(1988),Anempiricalanalysisofthestockpricevolumerelationship[J].JournalofBankingandFinance,12(1),31-42.[7],(2000).[J].(5),69-71.[8],(2002).[J].(5),24-28.[9],.[J].,2000,3(2),62-69.[10]ChengKennethXu(2000).ThemicrostructureoftheChinesestockmarket[J].ChinaEconomicReview,11,79-97.[11]Schwert,W.(1989).Whydoesstockmarketvolatilitychangeovertime[J].FinanceXLIV(5),1115-1153.[12]Schwert,W.(1990).Stockvolatilityandthecrashof87[J].RevFinanStud3(1),77-102.[13]Fama,E.(1965).Thebehaviorofstockmarketprices[J].JournalofBusiness38,34-105.[14]Clark,P.(1973).Asubordinatedstochasticprocessmodelwithfinitevarianceforspeculativeprices[J].Ecoonometrics,41,135-155.112246200511