( 3) (e eoy of andom Wal) (e eoy of Mean evesion) Mean evesion ANS-GACH 4. A Mean evesion (e eoy of andom Wal) Louis Bacelie 9 99 William Hamilon 99 Alfed Cowles Alfed Cowles Holboo Woing 934 Mauice Kendall 953 Hay obes 959,, Paul Samuelson 957 Osbone 959) (Bown), ( Fama, 965), 958 96,
959 Hay obes M.M.Osboe Fama Fenc 988 Poeba Summes(988) Dimiios Malliaopulos icad Piesley 999 7 Balves Gilliland () 8. Sample Auocoelaion Func-ion,SACF ( x x)( x x) = + = =,, L s Sample Auocoelaion Funcion,SACF S x, x x Mills,, / / Dimiios Malliaopulos < icad Piesley 999 Fama Fenc 988 3 5 5 45% Lo MacKinlay 989 Kim Nelson Saz(99), Jegadees 99 icadson Soc(989), Fama Jegadees 99 Gangopadyay(996) Fama Fenc Jegadees 99 Kim., Nelson,, Saz,(99) McQueen(99) >
. (Vaiance aio) Cocane 988 V ( ) va( ), = V ( ) + va( ) ( ) ˆ ρ ( ) =, = log( p / p ) ) va(, va( ) ˆ δ ( ) V( K ) (mean eveing) V( K ) Mean Aveing V( K ) V( K ) { x} x x = θ + x + a a ~ σ Lo MacKinlay 988 989 ( )( ) M ( ) = V( K ) / M ( ) N(, ) 3 / ( ) M ( ) N(, V ( )) V ( ) = ˆ( δ ) = ˆ( δ = ) = + = ˆ δ ( ) Heeosedasiciy-consisen esimao Lo MacKinlay 989 M () Dimiios Malliaopulos icad Piesley 999 Boosap 7 Poeba and Summes 988 Mills (Financial imes Acuaies,FA).3 (Uni oo ess) Balves Gilliland () i b i i b i i b + + = α λ P P ) + ( + + ) + = ( ω i b (ADF) P i P i i i i + + + = P + P α i i i i b ω + ( + + ) = λ < λ < λ = λ = 3 i +
no coecion, Balves Gilliland () 8 969 996 Jeffey Gopp(4) AMEX NYSE NASDAQ 4 8 Kausi Caudui Yangu Wu(3) 7.4 ANS-GACH Kiseo Nam Cong Soo Pyun Augusine C. Aize,Kiseo Nam Cong Soo Pyun Sepen L.Avad() ANS-GACH(Asymmeic Nonlinea Smoo-ansiion GACH) 96 997 Asymmeic + A() µ + = + µ + = + + + + + + + + + Kiseo Nam Cong Soo Pyun Augusine C. Aize ANS-GACH ANS-GACH = + [ + )] µ + = a + a + a + [ b + b + b ] ) 4
F( ) { + exp[ γ ( )]} = γ ANS-GACH F( ) = + + )] µ [ + δ + = a + a + a + [ b + b + b ] ) ANS-GACH-M > δ 3 = + [ + ϕ ] µ + = a + a + a + [ b + b + b ] ) ϕ < 4, ϕ = + [ + ) + ϕ ] µ + = a + a + a + [ b + b + b ] ) = > ϕ 3 Mean Avesion Mean evesion 5
3 [] Balves, Wu Y, Gilliland E. Mean evesion acoss naional soc maes and paameic conaian invesmen saegies[j]. Jounal of Finance, 55: 745 77. [] Cocane J H. How big is e andom wal in GNP? [J]. Jounal of Poliical Economy 988, 95: 6 88. [3] Dimiios Malliaopulos, icad Piesley. Mean evesion in Soueas Asian soc[j]. maes Jounal of Empiical Finance, 999(6):355 384. [4] Fama E, Fenc K. Pemanen and empoay componens of soc pices[j]. Jounal of Poliical Economy, 988, 96: 46 73. [5] Gangopadyay P, einganum M. Inepeing mean evesion in soc euns[j]. Quaely eview of Economics and Finance, 996, 36: 377 394. [6] Jeffey Gopp. Mean evesion of indusy soc euns in e U.S., 96 998[J]. Jounal of Empiical Finance 4(): 537 55. [7] Jegadees N. Seasonaliy in soc pice mean evesion: evidence fom e U.S. and e U.K[J]. Jounal of Finance, 99, 46: 47 444. [8] Kausi Caudui, Yangu Wu. andom wal vesus beaing end in soc pices: Evidence fom emeging maes[j]. Jounal of Baning & Finance, 3, 7: 575 59. [9] Kim M, Nelson C, Saz. Mean evesion in soc pices? A eappaisal of e empiical evidence[j]. eview of Economic Sudies, 99, 58: 55 58. [] Kiseo Nam Cong Soo Pyun Augusine C. Aize. Asymmeic mean-evesion and conaian pofis: ANS-GACH appoac.jounal of Empiical Finance 9, 563 588 [] Kiseo Nam, Cong Soo Pyun, Sepen L.Avad. Asymmeic eveing beavio of so-oizon soc euns: an evidence of soc mae oveeacion[j]. Jounal of Ban & Finance,, 5: 87-84. [] Lo A W, MacKinlay A C. Soc pices do no follow andom wals: Evidence fom a simple specificaion es[j]. eview of Financial Sudies, 988, : 4 66. [3] Lo A W, MacKinlay A C. e size and powe of e vaiance aio es in finie samples: A Mone Calo invesigaion[j]. Jounal of Economeics, 989, 4: 3 38. 6
[4] McQueen G. Long-oizon mean-eveing soc pices evisied[j]. Jounal of Financial and Quaniaive Analysis, 99, 7: 8. [5] Poeba J M, Summes L H. Mean evesion in soc pices: Evidence and implicaions[j]. Jounal of Financial Economics, 988, : 7 569. [6] icadson M, Soc J H. Dawing infeences fom saisics based on muliyea asse euns[j]. Jounal of Financial Economics, 989, 5: 33 348. [7] [ ] C,. [M].,. e Laes Developmen on e eoy of Mean evesion and is Quaniaive analysis meod Song Yu-cen (Business Scool, Jilin Univesiy, Cangcun ilin 3, Cina) Absac:e esablismen of e eoy of andom Wal and many ess of i suppo a e soc pice could no be pediced. Neveeless, wi e developmen of secuiy invesmen eoy fo a decade, ee as been a gea pogess a e foecas of e movemen of sae pice eoeically and pacically. e eoy of Mean evesion believes ague a fom a long un, e pice of soc appeas o be lie mean evesion. e following aicle poves o be a compeensive and sysemaic descipion, as well as a elevan analysis and commen of e eoy of mean evesion,especially fo long-em invesos. Key wods: Mean evesion; Auocoelaion; Vaiance aio; Uni oo; ANS-GACH Model 5--4 7