上证180指数

上证180指数成份股对投资者回报率的统计分析

The Quantitative Analysis on ROI of the Component Stocks of SSE 180 Index to Investors

上证180指数效应实证研究

Empirical Analysis of SSE 180 Index Effects

本文应用这些模型对上证180指数和深圳成份指数的日收益率序列的VaR估计进行了实证研究。

We compare the estimations of VaR in an application to daily returns on the Shanghai 180 index and Shenzhen Component index .

根据国外的经验，ETF可以有效地增强市场交易深度，因此本文建议创立上证180指数ETF弥补180指数对深度方面的负面影响。

We subject SSE establish 180-index ETF , because ETF can enhance the market trading depth and offset the negative effect according U. S. experience .

第二节分别运用历史模拟法、分析方法和MonteCarlo模拟方法对上证180指数日几何收益率的VaR做了计算，并用QBASIC语言编程实现；

Section 2 computes SSE 180 index daily geometric return rate VaR with the three methods of historical simulation , analysis and Monte Carlo simulation and this has been realized by a QBASIC program .

极值理论在风险度量中的应用&基于上证180指数

The Application of Extreme Value Theory to Risk Measurement Based on SSE-180 Index

上证180指数样本股经营绩效综合评价

Comprehensive Evaluation of the Management Performance of the Sample Stock of Shanghai 180 Index

上证180指数对标的股票流动性的影响

SSE-180 Index and Underlying Stock Liquidity

股票价格聚集现象及其横截面决定因素研究&基于上证180指数成分股的经验分析

Stock Price Clustering and the Cross-Sectional Determinants & Empirical Evidence from Shanghai Stock Exchange 180 Index Components

本文，采用标准支持向量机，对上证180指数和上证综合指数，以及一些个股的走势和价格进行了预测，效果基本令人满意。

This paper applies the standard Support Vector Machine to two SSE indices and some stock to make prediction ;

本文详细介绍了分别代表我国股市和成熟股市的上海和香港两个证券市场，以及作为研究对象的上证180指数和恒生指数的相关情况。

The article introduced the Securities market of Shanghai and Hong Kong in detail respectively , and also the study object & SSE 180 and HIS .

此外，在实证分析中，我们也发现并证实了上证180指数收益率存在“厚尾”分布、方差的时变性以及非对称性的风险特征。

In the empirical study we also found the phenomenon of " fat tail " distribution , conditional variance and asymmetric variance of SH180 index return .

实证结果表明，在样本期间（2002年7月1日至2003年12月31日）内，上证180指数股票呈现明显的羊群行为特征。

The result indicates , during the sample period ( from July 1 , 2002 to December 31,2003 ), 180 index stocks of Shanghai Stock Market present obvious herding behavior .

本文通过对上证180指数成分股的研究，得到了上海股市&一个典型的订单驱动市场的买卖价差组成成分日内变化的特征，并分析了买卖价差形成的原因。

By decomposing the spreads of the component stocks that the Shanghai 180 index is composed of , this paper studies the intra-day pattern of the components of spreads and the forming reason of spread curve .

用事件分析法首次对上证180指数样本股调整所造成股票的交易价格、数量等的波动进行了实证检验。

Based on the event study method , this paper makes an empirical study on the fluctuation of transaction price and quantity for the fist time because of the sample stock 's adjustment of the Shanghai Securities 180 index .

上证180指数的成立事件对不同的流动性指标有相反的效果：一方面促进了成分股价差水平和交易信息对称程度的改善，另一方面又促使交易深度水平和交易活跃性的降低。

The establishment of SSE-180 index has the different effect to different liquidity indicators : on one side , the component spread and trading information are improved , on the other side , the depth and trading activity become low .

文章在极值理论广义帕累托分布（GPD）下，研究了上证以180指数为标的的股指期货的保证金水平，并且与正态分布假设下的保证金水平进行比较。

With the GPD , this paper studies the margin level of the stock index future contract of Shanghai 180 index , and compares with the margin level of hypothesis of normal distribution .

通过应用回归分析的方法，我们比较了上证指数，上证180指数和上证A股指数作为备选的市场组合的各种情况。

The candidates are Shanghai composite index , 180 index and A-index .