金融海啸对上证A股市场的结构冲击初探——基于上证A股样本数据的CAPM实证检验与分析
Tentative Research about Structural Impact on Shanghai Stock-A Market by Global Financial Tsunami
全球金融海啸是百年一遇的金融危机，渐已融入全球金融大市场的中国资本市场在此次海啸冲击下有没有结构性的变化？本文在CAPM理论视界下引入哑元变量构筑计量模型并利用Chow Breakpoint Test对从上证A股选取的样本进行关于金融海啸对沪市A股市场结构性冲击的实证分析与比较后发现：总体而言，金融海啸对A股市场没有带来突变性的结构冲击，并基于中国金融市场现实状况对这一结论作出了若干解释，最后附带地对中国金融市场内在结构的成熟度和完善措施做了一番基于实证数据的讨论。
he global financial tsunami has spread all over the world, certainly including Chinese securities market.How deep is its impact on the internal structure of the stock-A market in Shanghai and by what way can we give it a measurement?Based on dummy variables structural test and Chow breakpiont test, this paper is a tentative try to make an answer to the above questions in a perspective of CAPM theory, which is a classical description of the internal structure of financial market.
胡啸兵
财政、金融世界经济
PM 虚拟变量结构检验 Chow Breakpoint Test
CAPM. Dummy variables structural test. Chow breakpoint test.
胡啸兵.金融海啸对上证A股市场的结构冲击初探——基于上证A股样本数据的CAPM实证检验与分析[EB/OL].(2009-03-16)[2025-08-30].http://www.paper.edu.cn/releasepaper/content/200903-574.点此复制
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