A Diagnostic Research on the Current Situation of the Stock Market in China
Liu Tia · Journal of Tangshan College · 2013
In this paper,the author,based on the 46major stock indexes over the past three years,establishes a regression model with the annualized yield as the response variable,and the average closing price,the average daily yield as the independent variable,and then examines whether the data point is abnormal,on the basis of the Mahalanobis distance,Cook distance,studentized residual,WK statistic,leverage and other diagnostic statistics.The results show that the indexes which are regarded as abnormal have been located accurately and the three indices of China's stock market are not founded abnormal,which is significant for the understanding of the stock market and making it better serve the real economy.