中国股票市场资产价格模型设定检验

Abstract

Abstract: With nonparametric methods for stochastic process inference based on high-frequency financial data developed recent years, model specification tests for price process in China stock market are implemented in this paper. The test statistics are built based on the asymptotic behaviors of realized power variation and realized threshold power variaton with different power, threshold and sampling frequency. Evidences from empirical studies on Shanghai Stock Exchange Index, Shenzhen Stock Exchange Component Index, and CSI300 imply that processes for these three indices in China Stock Market all contain Brownian motion diffusion, Poisson jump process and Levy jump process. These results provide foundational and empirical conclusiom for relative researches.

Key words: semimartingale, Brownian motion, Poisson jump, levy jump

CLC Number:

F830.9

SHEN Gen-xiang, HU Zhi-jun. Model Specification for the Price Processes in China Stock Market[J]. Chinese Journal of Management Science, 2014, 22(2): 16-23.

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Model Specification for the Price Processes in China Stock Market

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