基于无穷状态转换模型的中国股票市场收益率分析

Abstract

Abstract: A new Markov-switching VAR model is developed in which the number of the regimes is driven by data. The model is inferenced with Bayesian methods, and estimated with block sampling based MCMC method. With the studying of weekly return data of Shanghai A share market, five contrasted regimes are identified using the proposed model which are differenciated by return volatility. Before April 1992, market volatility is extremely low and since then there are two periods and three regimes are switching in each period.

Key words: infinite Markov-switching, VAR, Bayesian inference, block sampling, A share market return

CLC Number:

F224.0

CAI Wei-hong, TANG Qi-ming. Infinite Markov-switching VAR Model and Application to Analysis of China Stock Market Return[J]. Chinese Journal of Management Science, 2014, 22(1): 10-19.

References

[1] Hamilton J. A new approach to the economic analysis of nonstationary time series and the business cycle[J]. Econometrica, 1989, (2):357-384.
[2] Hamilton J. Time series analysis[M]. New Jersey: Princeton University press, 1994.
[3] Krolzig M. Statistical analysis of cointegrated VAR processes with markovian regime shifts[R].Working Papers, Humboldt University, 1996.
[4] Cai Jun. A Markov model of switching-regime ARCH[J]. Journal of Business and Economic Statistics, 1994, 12(3):309-316.
[5] Garcia R, Perron P. An analysis of the real interest rate under regime shifts[J]. The Review of Economics and Statistics, 1996, 78(1):111-125.
[6] Mills T C, Wang Ping. Regime shifts in European real interest rates[J].Review of world economics, 2003, 139(1)66-81.
[7] 朱钧钧, 谢识予.上证综指马尔可夫转换模型的MCMC估计和分析[J].系统工程, 2010, 28(4):9-14.
[8] 朱钧钧, 谢识予.中国股市波动率的双重不对称性及其解释——基于MS_TGARCH模型的MCMC估计和分析[J].金融研究, 2011, (3): 134-148.
[9] 严太华, 陈明玉.基于马尔科夫切换模型的上证指数周收益率时间序列分析[J].中国管理科学, 2009, 17(6):33-38.
[10] Kim C J, Nelson C R. State-space models with regime-switching: Classical and gibbs-sampling approaches with applications[M].Cambridge, Mass: The MIT Press, 1999.
[11] Psaradakis Z, Sola M. Finite sample properties of the maximum likelihood estimator in autoregressive models with Markov switching[J].Journal of Econometrics, 1998, 86:369-386.
[12] Beal M J, Ghahramani Z, Rasmussen C E. The infinite hidden markov model[M].//Dietterich T G, Ghahrama Z ni. Advances in neural information processing systems. Cambridge, MA:MIT Press, 2002.
[13] Teh Y W, Jordan M I, Beal M J, et al. Hierarchical dirichlet processes[J]. Journal of the American Statistical Association, 2006, 101:1566-1581.
[14] Fox E B, Sudderth E B, Jordan M I, et al. Nonparametric bayesian learning of switching linear dynamical systems[M].//Koller D. Advances in neural information processing systems 21, Cambridge, MA:MIT Press, 2009.
[15] Carvalho C, Lopes H. Simulation based sequential analysis of Markov switching stochastic volatility models[J].Computational Statistics and Data Analysis, 2006, 51(9):4526-4542.
[16] 张兵.基于状态转换方法的中国股市波动研究[J].金融研究, 2005, (3):100-108.
[17] 高金余, 陈翔.马尔可夫切换模型及其在中国股市中的应用[J].中国管理科学, 2007, 15(6):20-25.
[18] Geweke J, Amisano G. Comparing and evaluating Bayesian predictive distributions of asset returns[J]. International Journal of Forecasting, 2010, 26(2):216-230.
[19] Kass R E, Raftery A E. Bayes factors[J]. Journal of the American Statistical Association, 1995, 90(430):773-795.
[20] Dawid A P. Statistical theory: The prequential approach[J]. Journal of the Royal Statistical Society, 1984, Ser. A, 147:278-292.
[21] Brock W A, Dechert D, Scheinkman H, et al. A test for independence based on correlation dimension[J]. Econometric Reviews, 1996, 15(3):187-235.
[22] Luginbuhl R, Vos A. Bayesian analysis of an unobserved component time series model of GDP with Markov switching and time varying growths[J]. Journal of Business and Economic Statistics, 1999, 17(4):456-465.
[23] Albert J H, Chib S. Bayes inference via gibbs sampling of autoregressive time series subject to markov mean and variance shifts[J]. Journal of Business and Economic Statistics, 1993, 11(1):1-15.
[24] Perlin M.MS_regress-the MATLAB Package for Markov regime switching models[EB/OL] . 2010-11-26.http://ssrn.com/abstract=1714016.

Infinite Markov-switching VAR Model and Application to Analysis of China Stock Market Return

PDF (PC)

Knowledge

Cited

Abstract

Cite this article

share this article

References

Related Articles 15

Metrics

Comments

Recommended 10

[1]	HE Chao-lin, TU Bei, WANG Peng. The Effectiveness of Dynamic Mean-variance Portfolio: An Aspect of Time-varying Risk Tolerance [J]. Chinese Journal of Management Science, 2021, 29(1): 1-11.
[2]	Yuan Hui-ling, XU Lu, Zhou Yong. Leverage Effect Combining Trading Information with Stochastic Microstructure Noise [J]. Chinese Journal of Management Science, 2020, 28(9): 12-22.
[3]	SANG Sheng-ju, ZHANG Qiang. Optimal Decisions in a Green Supply Chain Based on Uncertainty Theory [J]. Chinese Journal of Management Science, 2020, 28(9): 127-136.
[4]	GUO Jie. Online Tourism Supply Chain Network Equilibrium Model with the Transaction Risk Investment [J]. Chinese Journal of Management Science, 2020, 28(6): 137-145.
[5]	HU Chun-hua, ZHAO Hui, TONG Xiao-qin, REN Jian. Research on the Impact of Intelligent Recommendation System on Consumer Online Shopping [J]. Chinese Journal of Management Science, 2020, 28(6): 158-170.
[6]	ZHANG Ke, ZHONG Qiu-ping, QU Pin-pin, YIN Yao, ZUO Yuan. Grey Forecasting Model of Rural Water Environment Quality Based on Online Searching Information [J]. Chinese Journal of Management Science, 2020, 28(6): 222-230.
[7]	QU Hui, ZHANG Yi. The Study of High-dimensional Volatility Estimators and Forecasting Models based on Volatility Timing Performance [J]. Chinese Journal of Management Science, 2020, 28(5): 62-70.
[8]	XIONG Tao, BAO Yu-kun. Soybean Future Prices Forecasting based on Dynamic Model Averaging [J]. Chinese Journal of Management Science, 2020, 28(5): 79-88.
[9]	XU Hai-feng, WANG Xiao-dong. Can Modern Service Industry Promote Urbanization?——An PVAR Analysis Based on the Perspective of City-industry Integration [J]. Chinese Journal of Management Science, 2020, 28(4): 195-206.
[10]	CUI Yu-quan, LIU Bing-jie, LIU Cong, QU Jing-jing. Optimization Model Analysis of New Order Agricultural Cooperation Model [J]. Chinese Journal of Management Science, 2020, 28(12): 140-150.
[11]	HU Cheng-chun, CHEN Xun. Economic Policy Uncertainty, Macroeconomic and Asset Price Fluctuation: Based on TVAR Model and Spillover Index [J]. Chinese Journal of Management Science, 2020, 28(11): 61-70.
[12]	WANG Sheng-quan, CHEN Lang-nan, LIU Ren-hao. Asset Bubbles, Technological Innovation and Economic Growth [J]. Chinese Journal of Management Science, 2020, 28(10): 1-12.
[13]	WANG Jia, JIN Xiu, WANG Xu, LI Gang. Research on Variance Minimization Hedging Based on Time-Varying Markov DCC-GARCH Model [J]. Chinese Journal of Management Science, 2020, 28(10): 13-23.
[14]	LI Qing, ZHANG Hu. Single-index Nonparametric Option Pricing Model——A Modified Nonparametric Pricing Approach [J]. Chinese Journal of Management Science, 2020, 28(10): 43-53.
[15]	LIU Feng-gen, WU Jun-chuan, YANG Xi-te, OUYANG Zi-sheng. Long-run Dynamic Effect of Macro-economy on Stock Market Volatility Based on Mixed Frequency Data Model [J]. Chinese Journal of Management Science, 2020, 28(10): 65-76.