基于多標(biāo)度分形理論的金融資產(chǎn)收益非對(duì)稱性測(cè)度方法研究

摘要： 本文基于多標(biāo)度分形理論,提出了一種新的更適用于實(shí)際金融資產(chǎn)收益數(shù)據(jù)的非對(duì)稱性測(cè)度方法:兩階段非對(duì)稱性檢驗(yàn)法,并運(yùn)用Monte Carlo模擬考察了其與傳統(tǒng)的偏度系數(shù)檢驗(yàn)法的非對(duì)稱性判定結(jié)論差異。實(shí)證結(jié)果表明,總體來講,本文提出的兩階段非對(duì)稱性檢驗(yàn)法在常用檢驗(yàn)水平下取得了較偏度系數(shù)法更為準(zhǔn)確的金融資產(chǎn)收益非對(duì)稱性判定結(jié)論,且兩階段非對(duì)稱性檢驗(yàn)法較偏度系數(shù)法更適用于具有非獨(dú)立、非正態(tài)特性數(shù)據(jù)的非對(duì)稱性檢驗(yàn)。
Asymmetry in financial asset returns is not only one factor should be considered in asset pricing and portfolio selection,but also relative to risk measurement and derivatives pricing.In traditional study,the common approach to test asymmetry in asset return distributions is using the coefficient of skewness defined as the standardized third central moment.However,when using the coefficient of skewness to test asymmetry,the key is to make the conclusion right and that not only asset prices should be independent of each other,but also the asset return should obey normal distribution should consider effectively.In this paper,a new asymmetry test based on multifractal theory,two-step asymmetry testing,is proposed.A Monte Carlo study shows that the test is competitive with coefficient of skewness test in common significance levels generally and that TAT testing works more properly for dependent and non-normal data.