GEYR值作为我国投资策略的可行性研究

上海交通大学学报（自然版）

GEYR值作为我国投资策略的可行性研究

陈正旭，徐小华，庞清武

(上海交通大学安泰经济与管理学院，上海 200052)

收稿日期:2007-10-25 修回日期:1900-01-01 出版日期:2008-11-28 发布日期:2008-11-28
通讯作者: 陈正旭

Research about the Feasibility of GiltEquity Yield Ratio Act as an Investment Strategy

CHEN Zheng-xu，XU Xiao-hua，PANG Qing-wu

(Antai College of Economics & Management，Shanghai Jiaotong University, Shanghai 200052,China)

Received:2007-10-25 Revised:1900-01-01 Online:2008-11-28 Published:2008-11-28
Contact: CHEN Zheng-xu

摘要/Abstract

摘要： 对我国国债与股票收益率比值（GEYR）进行研究，发现国债与股票收益率存在单位根，相互之间存在协整关系，而GEYR是平稳的.利用GEYR的变化建立股票债券投资策略,发现与其他投资策略相比，用马尔科夫转换机制模型预测GEYR并建立的投资策略具有较高收益率，但考虑了交易成本和风险后并没有明显优势.

关键词: 股票收益率, 债券收益率, 协整, 马尔科夫机制转换模型

Abstract: Giltequity yield ratio (GEYR) was predicted using Kalman filter, then a Markov regime switching investment strategy was set up. Compared with other investment strategies，the Markov regime switching investment strategy is not proved to be the best. However, with the development of China capital market，it is necessary to take consideration of this method.

中图分类号:

F 830.593

陈正旭，徐小华，庞清武. GEYR值作为我国投资策略的可行性研究[J]. 上海交通大学学报（自然版）.

CHEN Zheng-xu，XU Xiao-hua，PANG Qing-wu. Research about the Feasibility of GiltEquity Yield Ratio Act as an Investment Strategy[J]. Journal of Shanghai Jiaotong University.