|本期目录/Table of Contents|

[1]赵 钊.股市指数日间变化与夜间跳跃关系的 非参数计量研究[J].长安大学学报(社科版),2012,14(03):54-59.
　ZHAO Zhao.Nonparametric research on the relationship between intraday movement and overnight gap of stock indices[J].Journal of Chang＇an University(Social Science Edition),2012,14(03):54-59.
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股市指数日间变化与夜间跳跃关系的 非参数计量研究(PDF)
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《长安大学学报（社科版）》[ISSN:1671-6248/CN:61-1391/C]

卷:
第14卷
期数:
2012年03期
页码:
54-59
栏目:
经济与管理
出版日期:
2012-09-20

文章信息/Info

Title:
Nonparametric research on the relationship between intraday movement and overnight gap of stock indices
作者:
赵 钊
上海交通大学 安泰经济与管理学院,上海 200240
Author(s):
ZHAO Zhao
Antai School of Economics and Management, Shanghai Jiaotong University, Shanghai 200240, China
关键词:
非参数统计;  股市指数;  置信带;  可获利投资策略
Keywords:
nonparametric statistics;  stock market index;  confidence band;  profitable investment strategy
分类号:
F830.91
DOI:
-
文献标志码:
A
摘要:
运用非参数统计分析方法,研究股市指数夜间跳跃与日间变化之间的关系; 基于R软件,采用基本统计量、散点图与拟合函数图,对全球范围内7个股票交易市场的每日交易数据进行分析; 以上证综合指数为例,通过渐进正态分布和Bootstrap置信带分析,得到夜间跳跃和日间变化拟合度较高的百分比夜间跳跃区间,依据区间内夜间跳跃和日间变化的关系,提出了基于夜间跳跃的股市可获利交易策略。分析认为:夜间跳跃和日间指数变化存在相关关系; 在不同的股票市场,其相关关系不同; 技术分析对指导股票市场的投资是有效的。
Abstract:
This paper adopts the method of nonparametric statistic analysis to conduct a research on the relationship between the overnight gap and intraday movement of stock indices. The daily trading data of 7 stock markets around the world were processed and analyzed through basic statistic analysis, scattering diagram and the function figure based on R software. The analysis result shows that there is a relationship between overnight gap and intraday movement, and the relation is different with the stock market. Taking Shanghai composite index analysis data as an example, it is found that the percentage gap area as the gap and change fits better by asymptotic and Bootstrap confidence band analysis. And a profitable trading strategy based on stocks overnight gap was proposed according to the relationship between gap and change in the percentage gap interval. This also demonstrates that technical analysis is efficient to guide the stocks investment.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2012-05-15 作者简介:赵 钊(1989-),男,甘肃兰州人,学生。
更新日期/Last Update: 2012-09-20