应用齐次马氏域变对上海股市异常收益率的实证检验

通过在收益率结构中使用齐次马氏域变模型研究异常收益率，描述以1996年10月到2010年2月的上证指数为研究对象的非线性动态异常收益率演进过程，并利用Johansen协整检验方法剔除其理性价值（即正常收益率），进而基于齐次马氏域变模型针对协整残差（即异常收益率）进行建模，用极大似然法拟合估计总体参数。最后根据实证结果，指出股市的宏观经济政策因素是影响我国股市异常收益率现象的主要原因，并提出相应的政策建议。

Analyzing and Testing for Abnormal Return of Shanghai Stock with Homogenous Markov Regimes Switching Model

Studies abnormal return by using homogenous Markov Regimes Switching Model and describes the nonlinear dynamics process of Shanghai Stock Index from October, 1996 to February, 2010. The author eliminates rational value component （normal return） based on Johansen Co-integration Test, and then constructs model of co-integrational residual error （abnormal return） by using homogenous Markov Regimes Switching Model and utilizes the method of Maximum Likelihood to estimate the reason. Finally, according to the analysis this paper indicates it is macro-economic policy factors that influence the abnormal return of China＇s stock market, and propose corresponding policy suggestions.