股票收益率

• This paper concentrates shanghai stock market and researches the factors affecting shanghai stock market ’ s return by means of econometrics
  本文的研究也是以实证方法为手段,立足于上海证券市场,对上海证券市场股票收益率的影响因素进行实证研究。
• In addition , we also find that the factors influencing the stock returns in different industries are not the same , which shows that industry is also the important factor to influence stock returns
  研究还发现，不同行业股票收益率的影响因素有很大区别，说明行业因素也是股票收益率很重要的影响因素。
• In accordance with standard asset pricing theory , the stock market should be a macroeconomic " barometer " , should be able to forecast the stock yield productivity changes , stock prices reflect economic fundamentals signal
  根据标准的资产定价理论,股市应该是宏观经济的“晴雨表” ,股票收益率应该能预测生产率的变化,股票价格能反映经济基本面的信号。
• Var and stress testing model can measure this tail risk , therefore , combined with delta - method , var is the efficient model that can be applied to measure chinese security portfolio market risk
  股票收益率呈现出厚尾特性， var及其压力测试模型能很好的计量投资组合的尾部收益及风险，因而结合了var的方差模型是适合于我国证券投资市场风险计量的有效模型。
• Nevertheless , in the long run , our stock market is developing towards a competitive capital market . at present , many economists in our country has begun to concern the affect of asset prices to macroeconomic and monetary policy implications
  我们发现股票收益率与预期通货膨胀率无论在短期内还是长期内都呈现负相关关系,即在我国股票市场上“费雪效应”不成立。
• One of the issues that catch more eyes is the relationship between the risk and return in stock market . furthermore , that the basic factors affected the stock return has become the highlight study issue in recent two or three years
  其中，证券市场的风险收益关系问题是多年来颇受瞩目的焦点问题之一，而影响股票收益率的基本面因素则是近两三年更为关注的研究课题。
• Provided that stock price process is a jump - diffusion process , the rate of return and the volatility are functions of time , the pricing formula of exponential european jump option can be obtained with the principle of equivalent martingale measure
  摘要假定股票价格过程服从跳跃扩散过程，且无风险利率，股票收益率、波动率均为时间函数，利用等价鞅测度方法得出了支付函数为幂型的欧式期权定价公式。
• The core of this thesis is the empirical test on the relationship of many kinds of risk factors and stock returns in the shanghai stock market . the purpose is to show the actual relation between risk and return in the present stage of china ' s stock market
  本文的核心内容是对上海股票市场中多种风险因素与股票收益率的变化关系进行实证检验，目的是为了揭示我国股票市场现阶段风险与收益的实际关系。
• Firstly we discuss the relevant theory of bond . secondly we discuss the two models of stock returns rate , capm and apt , and then we introduce how to calculate var of stock . lastly we discuss two kinds of derivative instrument , futures and options
  首先探讨债券的相关理论；其次探讨股票收益率采用的两个模型：传统的资本资产定价模型和多要素套利定价理论，并介绍如何计算股票的var ；最后探讨两类衍生工具：远期与期货、期权。
• Due to the yield change of national debt market is relatively stable , we find that the yield of stock market directly decides the level of equity risk premium . 4 ) this model is like a technique analysis , the investor can master the pulse easily by applying this model
  3 )由于国债市场的收益率的变化相对来讲比较平稳，中国股票市场股权风险溢价的变化主要是由于股票收益率的变化引起的，可以说股票市场的收益率情况直接决定了股权风险溢价的水平。