【作者】 黄飞；

【导师】 谭常春；

【作者基本信息】 合肥工业大学 ， 应用数学， 2014， 硕士

【摘要】 连涨和连跌收益率作为股市研究中的一个重要指标，在分析股市的政策效应及股市的变化时具有重要的意义。本文主要运用变点统计分析理论对上证指数连涨、连跌收益率进行Bayes实证分析。第一章介绍一些研究连涨和连跌收益率的成果和方法,同时简述了变点问题的一些研究方法，以及重点说明了Bayes方法的思想和成果，最后说明了本文的主要内容。第二章具体介绍Bayes方法对Γ分布参数的变点计算和连涨、连跌收益率的求法。第三章选用2001年1月2日至2010年5月12日共2262个交易日的上证指数收盘价作为研究数据，利用K-S检验法将其分成六个阶段，发现这六个阶段的连涨和连跌收益率服从Γ分布。通过计算后验概率的大小，判断分段之后的每一段收益率数据是否存在变点，同时给出变点发生位置的估计，并探讨变点发生的影响因素以及分析了股市政策和某些政治经济事件对上海股市的影响。第四章对本文做出总结，同时给出不足以及展望。更多还原

【Abstract】 The successive rises and falls of returns are one of the important indicators in thestudy of stock market, so it is of vital importance when analyzing the stock marketpolicy effect and the change of stock market.Based on the statistical analysis theory of change point, this paper analyses thesuccessive rises and falls of returns of Shanghai stock index by Bayes empiricalanalysis.The first chapter introduces some research methods and results of the successiverises and falls of returns and the change point problem. At the same time, it focuses onthe ideas and achievements of the Bayes method and finally illustrates the maincontent of this article.The calculation of the gamma distributed parameter’s change point by using Bayesmethod and the computation of the successive rises and falls of returns are presentedin the second chapter.In the third chapter，2262trading days of closing values of a certain Shanghai stockindex are chosen from January2,2001to May12,2010, then, we divide these datainto six stages by K-S test, and the results show that the distribution of the successiverises and falls of returns are fitted with gamma distribution in the six stages. We try tofind whether the change point exists in each piece of dates by calculating the Bayesposterior probability. At the same time, the estimation of change point location isgiven. Furthermore, the factors which influence the occurrence of change point arediscussed. Then we analyze the stock market policy and the effect of certain politicaland economic events on the Shanghai stock market.Chapter four of this article makes a summary, at the same time, deficiencies andprospects are given.更多还原