Th e empirical evidence with SV model indicates that the return volatility of individual stock in Shanghai Stock Market is very high while portfolio can deaden the persistence in some extent but add the volatility level.
Th e empirical evidence with SV model indicates that the return volatility of individual stock in Shanghai Stock Market is very high while portfolio can deaden the persistence in some extent but add the volatility level.
利用随机波动 (SV)模型对上海股市个股与股票组合的收益进行分析 ,结果发现所有股票收益波动的影响都具有很高的持续性 ,股票组合虽能减小这种持续性 ,但却增加波动水平 ;