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随着我国证券衍生品的快速扩充和证券市场的加速开放,对证券价格变动特征的分析以及相应的国际比较已成为配合深化改革应对经济“新常态”的重要课题。本文扩展了前沿的期限结构分析框架,引入了经验分布函数和分位线图等方法,对中、美、澳三国证券价格变动的期限结构进行了比较分析,发现了中国特有的各种期限下具有正偏度的特征,对其形成原因进行了探索并提出了进一步促进我国证券市场健康发展的建议。
With the rapid expansion of China’s securities derivatives and the acceleration and opening up of the securities market, the analysis of the characteristics of the securities price changes and corresponding international comparisons have become important topics for deepening the reform and responding to the new normal of the economy. This paper expands the frontier deadline structure analysis framework, introduces empirical distribution function and sub-bitmap, and compares the term structure of securities price changes in China, the United States and Australia. It finds that under the various kinds of China-specific deadlines Has the characteristics of positive skewness, explores its formation reasons and puts forward suggestions to further promote the healthy development of China’s securities market.