뗚3뻭뗚1웚맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨쓪3퓂ꆡꆡꆡꆡꆡꆡꆡꆡJOURNALOFMANAGEMENTSCIENCESINCHINAꆡꆡꆡꆡꆡꆡꆡꆡꆡ훐맺횤좯튻벶쫐뎡럖컶ꋙ췵뻼늨,뗋쫶믛(훐맺뿆톧풺쾵춳뿆톧퇐뺿쯹,맜샭ꆢ뻶닟폫탅쾢쾵춳뾪럅퇐뺿쪵퇩쫒,놱뺩100080)햪튪:룹뻝쿖듺횤좯쫐뎡샭싛,샻폃VARMA쒣탍퇐뺿쇋훐맺횤좯튻벶쫐뎡ퟮ뷼죽쓪뗄랢햹벰쿠맘횤좯쫐뎡뇤솿뛔횤좯튻벶쫐뎡뗄펰쿬.랢쿖떱잰컒맺뗄횤좯튻벶쫐뎡듦퓚ퟅ뎬뛮놨돪싊,퓚퇐뺿럖컶뗄믹뒡짏룸돶컒맺횤좯튻벶쫐뎡듦퓚뎬뛮놨돪싊뗄뿉쓜뗄뷢쫍벰쿠펦뗄헾닟붨틩.맘볼듊:횤좯튻벶쫐뎡;뎬뛮놨돪싊;죏릺훐잩싊;랢탐솿;랢탐볛럖샠뫅:F831ꆡꆡꆡ컄쿗뇪쪶싫:Aꆡꆡ컄헂뇠뫅:100729807(2000)01200452080ꆡ틽ꆡ퇔춶헟횮볤듦퓚탅쾢늻뛔돆,벴듦퓚폐탅쾢좺폫컞탅쾢좺,횤좯튻벶쫐뎡짏돶쿖쇋쯹캽뗄ꆰ훐잩헟횤좯튻벶쫐뎡벴맺췢춨돆뗄IPO쫐뎡뗄ퟧ훤ꆱ뗄쿖쿳,쯹틔탂막랢탐볛룱뇘탫뗍폚헽뎣,IPO쫇볛룱틔좷놣컞탅쾢춶헟좥릺싲막욱,벴죏캪ꆰ쎻InitialPublicOfferings뗄쯵킴,벴쫗듎릫뾪랢탐뗄막욱,믲풭쪼랢탐뗄막욱(풭쪼막).횤좯튻벶폐뗍볛랢탐,뷏짙뻟폐탅쾢뗄춶헟붫늻뷸죫탂쫐뎡쫇횸풭쪼막랢탐쫐뎡,쯼쫇횤좯쫐뎡뗄훘튪막쫐뎡,늢쟒탭뛠탂막랢탐뻍믡쪧냜ꆱ,늢틔듋췆ퟩ돉늿럖,쫇막럝훆웳튵폫맣듳춶헟횮볤뷰돶짪릺탂막듦퓚뎬뛮놨돪싊.A\[10-12\]llen뗈죋죏죚춨뗄쟅솺캪횤좯튻벶쫐뎡탂막뗄뗍볛랢탐틔벰뗍볛랢탐뗄.쫐뎡폐킧탔볙쮵죏캪,탂짏쫐뗄막욱늻펦룃듦퓚뎬뛮놨돪싊,틲캪훚뛠뗄훰샻탐캪믡럹뛈쫇랢탐짏쫐릫쮾쓚퓚볛횵뗄튻훖쳥쿖.떱좻쪹뎬뛮샻죳쿻쪧,떫훚뛠뗄뛔룷맺뗄횤좯튻벶쫐맘폚횤좯튻벶쫐뎡뗄뎬뛮놨돪싊뮹폐웤쯻탭뛠뗄뎡뗄쪵횤퇐뺿\[1-4\듳]뚼횧돖ꆰ탂짏쫐막욱뻟폐뎬샭싛,죧Tinic뗄늹뎥샭싛ꆢLee뗈죋뗄랢탐폫짏뛮놨돪싊ꆱ뗄쮵램\[1\].Ibbotson틲늻쏷웤샭뛸틔쫐쪱볤볤룴럧쿕늹뎥샭싛뗈\[13-20\].ꆰ쏕ꆱ돆횮훐맺횤좯쫐뎡틔1990쓪12퓂짏몣횤좯붻틗.퓚듋횮뫳,훚뛠톧헟뎢쫔듓늻춬뗄뷇뛈살뷢쫍헢튻쿖쿳.B\[5\aron듓]쫐뎡춶헟뛔탂랢탐쯹폫1991쓪4퓂짮?횤좯붻틗쯹펪튵캪뇪횾,퓚막욱뗄탨쟳솿뗄늻좷뚨탔틔벰랢탐죋폫죏릺헟횮뛌뛌늻떽10쓪뗄쪱볤샯뗃떽쇋톸쯙뗄랢햹,퓚췆볤탅쾢늻뛔돆뛸닉좡뗍랢탐볛닟싔뗄뷇뛈,뛔탂뚯컒맺뺭볃뷡릹탍ꆢ췘뿭죚쟾뗀뫍듙뷸뺭볃짏쫐막욱뗄뎬뛮놨돪싊뷸탐뷢쫍.A랢햹랽쏦랢믓ퟅ풽살풽훘튪뗄ퟷ폃.횤좯쫐뎡틑fflect2G\[6\퓲]rave죏캪쫐뎡볠맜쳥훆뗄늻춬떼훂횤좯튻돉캪맺쏱뺭볃랢햹뗄ꆰ쟧폪뇭ꆱ,캪맺볒뫍훐퇫틸벶쫐뎡뗄늻춬뎬뛮놨돪싊.B\[7\ooth2Chua듓]탂랢탐뗄뷰죚헾닟뗄쪵쪩쳡릩쇋훘튪뗄틀뻝.횤좯쫐탐막욱뗄막좨룟뛈럖즢뗄뷇뛈뛔듋쿖쿳뷸탐쇋퇐뎡뗄튻벶쫐뎡뫍뛾벶쫐뎡쫇횤좯쫐뎡훐볈쿠뮥틀뺿\[8\삵폖쿠뮥펰쿬뗄솽룶늿럖,횻폐춬쪱펵폐룟킧뛸.Ritter첽]쳖쇋막쫐탋췺폫럱뛔탂막뎬뛮놨돪싊뗄펰쿬.R\[9\ock듓]Grossmanꆰ싛ꆱ죫쫖뇪ힼ뗄튻벶쫐뎡뫍뛾벶쫐뎡뗄횤좯쫐뎡닅쫇튻룶,죏캪ꋙ쫕룥죕웚:1998211216;탞뚩죕웚:1999208216.믹뷰쿮쒿:맺볒ퟔ좻뿆톧믹뷰훺쿮쒿(79790130).ퟷ헟볲뷩:췵뻼늨,훐맺뿆톧풺쾵춳뿆톧퇐뺿쯹늩쪿짺.' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆪ46ꆪ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2000쓪3퓂룟킧뛸뇪ힼ뗄쫐뎡.떫퓚쒿잰,컒맺뛔횤좯튻벶쫐뺭볃뫍쿖듺웳튵뗄붨짨,횤좯쫐뎡ퟷ캪웳튵룄훆뎡뗄퇐뺿뮹뫜짙,췵뷺뇳ꆢ쟥럧ꆢ탭붡룕\[21-24\뗈]뛔뗄훷튪쟾뗀,뗃떽쇋톸쯙퓶뎤,횤좯튻벶쫐뎡튲랢훐맺횤좯튻벶쫐뎡뗄뎬뛮놨돪뫍럧쿕뷸탐쇋퇐햹톸쯙.1993쓪ꆪ1994쓪7퓂,짮뮦솽횤좯붻틗뺿,랢쿖훐맺횤좯쫐뎡튲듦퓚ퟅꆰ탂짏쫐막욱뻟폐쫐뎡릲랢탐탂막A막틚막,B막틚뎬뛮놨돪싊ꆱ뗄쿖쿳,늢룸돶쇋튻뚨뗄뷢쫍.막;(3)캪쇋뿘훆뺭볃맽죈쿖쿳,틖훆맽룟뗄춨믵엲헍싊,1994쓪,훐퇫헾뢮쪩탐ꆰ쫕쯵틸룹ꆢ쫊뛈1ꆡ훐맺횤좯튻벶쫐뎡볲뷩듓뷴ꆱ뗄뺭볃헾닟,짏몣횤좯쫐뎡ퟛ뫏횸쫽듓1536뗣뗸훁뗣,횤좯튻벶쫐뎡튲평룟럥퓚떱뷱훐맺횤좯쫐뎡쳥쾵훐,탂막뗄랢탐짏뗸죫뗍마.캪쇋놣횤횤좯쫐뎡뷰럖엤,놣돖횤좯쫐쪵탐뗄쫇뛮뛈뿘훆쫐뎡뗄컈뚨뫍랢햹,훐맺횤볠믡뻶뚨듓1994쓪7.퓚듋맽돌훐,훐맺횤볠믡쫇웤훐ퟮ캪훘튪뗄볠맜믺릹,쯼뢺퓰웰닝쓪뛈탂막퓂30죕퓝춣탂막랢탐짏쫐,듓1994쓪8퓂떽랢탐볆뮮뫍탂막랢탐뛮뛈,뺭횤좯캯뫍맺컱풺엺1995쓪11퓂,헻룶횤좯쫐뎡횻랢탐짏쫐쇋ힼ뫳틚A막,틚막B막,훐맺횤좯튻벶쫐뎡ퟟ,냑탂막랢탐볆뮮뫍랢탐뛮뛈쿂랢떽룷뗘랽헾뢮,룷뗘랽헾뢮믱뗃놦맳뗄랢탐뛮뛈뫳맽쇋튻룶뗍쏔뗄쪱웚.(4)뷸죫1996쓪,벴ퟩ횯,쯦ퟅ퇫탐떱뗘웳튵뷸탐즸톡ꆢ룄훆ꆢ짪쟫뗈,ퟮ뫳놨뺭훐맺솽듎뗷뗍샻싊뫍뺭볃뗄쮳샻욽컈맽뛉,횤좯쫐뎡횤볠믡엺ힼ벴뿉쿲짧믡릫뾪랢탐탂막욱훰붥믘얯,횤좯튻벶쫐뎡튲쯦뫳ퟟ돶뗍마,탂막랢.퓚뛌뛌10쓪뗄쪱볤샯,훐맺뗄횤좯튻벶쫐뎡탐쯙뛈훰늽볓뿬,탂막짏쫐뛮뛈훰쓪퓶볓,1996뺭샺쇋벸룶랢햹뷗뛎쓪탂막짏쫐뛮뛈캪150틚,1997쓪탂막짏쫐뛮뛈:(1)퓚짏몣ꆢ짮?횤좯붻틗쯹룕룕돉솢뗄1991뫍1992쓪,평폚횤좯짐쎻폐캪300틚,훐맺횤좯튻벶쫐뎡뷸죫쇋튻룶량쯙랢뗃떽맣듳춶헟뗄죏춬,웳튵룄훆짐쎻쓜퓚좫맺햹뗄뷗뛎.뇭1훁뇭3쫇1996쓪1퓂ꆪ1998쓪8랶캧쓚췆맣쪩탐,솽쓪훐,횻폐뫜짙벸횻막욱릲풼퓂16죕,훐맺횤좯튻벶쫐뎡탂막랢탐(늻냼삨샺15틚막A막탂막퓚짮뮦솽붻틗쫐뎡랢탐짏쫐붻쪷틅쇴컊쳢)쟩뿶:틗;(2)1993쓪,훐퇫헾뢮뻶뚨볓뿬짧믡훷틥쫐뎡뇭1ꆡ1996쓪탂막랢탐쟩뿶퓂럝123456789101112탂막쫽솿63651524161820171816뇭2ꆡ1997쓪탂막랢탐쟩뿶퓂럝123456789101112탂막쫽솿20762426402469985뇭3ꆡ1998쓪탂막랢탐쟩뿶퓂럝12345678탂막쫽솿8549111732욱뗄짏쫐.퓚헢킩짏쫐막욱뗄쿠맘뇤솿훐,훷튪뾼2ꆡ퇹놾쇏ꆢ쪵횤뒦샭벼쫵싇폫퇐뺿쿠맘뗄룷막욱랢탐볛룱ꆢ랢탐쫽솿ꆢ죏릺훐잩싊ꆢ막욱랢탐떱쓪뗄릫쮾뺻닺쫕틦싊ꆢ막욱캪쇋뷸탐뚯첬랢햹럖컶,닉폃1996쓪1퓂떽짏쫐뫳뗚튻쳬뗄쫕엌볛ꆢ막욱짏쫐떱퓂듳엌욽뻹1998쓪8퓂16죕퓚짏몣뫍짮?랢탐짏쫐뗄막쫕틦싊ꆢ막욱랢탐죕웚폫짏쫐죕웚뗈뛠캬쫽뻝.평욱,웤훐내쓪럝냑헢킩짏쫐뗄막욱럖캪죽늿럖:폚쇏쫽뻝뗄풭틲,1997쓪폐뗄쫽뻝쿮컞램쫕벯140횻(1996쓪)ꆢ184(1997쓪)뫍60횻(1998떽,놾컄쯹닉폃쫽뻝살풴폚훐맺횤볠믡퓂놨뫍ꆶ쪤쓪),떱좻쯹폐헢킩막욱훐늻냼삨샺쪷틅쇴컊쳢막쇺ꆷ막욱쾵춳훐룷짏쫐릫쮾뗄탅쾢뫍짏몣ꆢ짮?쫐' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
뗚1웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ췵뻼늨뗈:훐맺횤좯튻벶쫐뎡럖컶ꆪ47ꆪ뎡뗄쟩뿶.닉폃쫂볾럖컶뗄랽램,춨맽OLS믘맩랽램뫍퓚첽쳖탂짏쫐막욱뗄뎬뛮놨돪싊쪱,샭싛짏ARIMA쒣탍뛔짏쫶쫽뻝뷸탐럖컶.뇘탫쫂쿈횪뗀뻹뫢볛룱,떫뻹뫢볛룱쫇컞램ힼ좷횪뗀뗄.Downes뫍Heikel퓸쳡돶쇋맀쯣탂짏쫐3ꆡ쪵횤뷡맻벰웤럖컶막욱볛횵뗄믘맩쪽,떫퓚쪵볊럖컶훐,듳뛠맺췢톧헟닉좡탂막욱짏쫐뗚튻룶붻틗죕뗄쫕엌볛캪맛닢퓚붨솢쪵횤쒣탍훐,톡폃뫍탂랢탐막욱뎬뛮웚뗄뻹뫢볛룱.퓚놾컄훐닉폃탂막욱짏쫐뗚튻룶쫕틦폐맘뗄죧쿂뇤솿뷸탐럖컶:막욱랢탐볛룱Pꆢ붻틗죕뗄쫕엌볛캪맛닢웚뗄뻹뫢볛룱.퓚볆쯣뎬막욱랢탐쫽솿Vꆢ죏릺훐잩싊Rꆢ막욱랢탐떱쓪릫뛮놨돪싊랽쏦폐솽훖랽램:튻쫇볆쯣짏쫐뗚튻쳬쮾뺻닺쫕틦싊Dꆢ탂막짪릺뎬뛮놨돪싊(E=뗄뎬뛮놨돪싊,뛾쫇볆쯣짏쫐뫳튻뛎쪱볤샛볆뗄(짏쫐뗚튻쳬쫕엌볛-랢탐볛룱)ö랢탐볛룱)3뎬뛮놨돪싊.퓚놾컄훐닉폃뗚튻훖랽램,쫇평폚퓚100◊)ꆢ막욱짏쫐떱퓂듳엌욽뻹쫕틦싊Aꆢ막욱랢뾼싇쇋훐잩싊횮뫳,폫훐잩싊솪쾵뷴쏜뗄뇤솿쫇탐폫짏쫐횮볤뗄볤룴쪱볤T.춨맽ADF뫍랢탐볛룱ꆢ랢탐솿벰캴훐잩헟ퟮ뿬쓜퓚쫐뎡짏싲Phillips2perron욽컈탔볬퇩뿉횪,짏쫶쫽뻝뻹캪떽막욱뗄볛룱폫죕웚,춬쪱폃짏쫐뗚튻쳬볛룱살욽컈탲쇐,쯹틔,뿉틔닉폃OLS랽램뫍ARIMA볆쯣뿉틔복짙쾵춳뗄룉죅컳닮.쒣탍뛔짏쫶쫽뻝뷸탐럖컶.퓚뒫춳뗄볆솿뺭볃톧뗄쪵횤퇐뺿훐뎣뎣폐튻춨맽볆쯣뗃돶1996ꆪ1998쓪횤좯튻벶쫐뎡룶잰쳡,쓇뻍쫇,쯹톡뗄맘폚룷룶뇤솿뗄탲쇐뇘탫탂막짪릺욽뻹뎬뛮놨돪싊럖뇰캪%ꆢ쫇컈뚨뗄,헢퇹닅쓜놣횤퓚쒣탍톡퓱뫍볬퇩쪱튻%뫍%,헢뇭쏷퓚훐맺,횤좯튻벶킩춳볆솿,죧뫢솿쒣탍쓢뫏쫽뻝돌뛈뗄쓢뫏뛈,볬쫐뎡짏듦퓚ퟅ탂막짪릺뎬뛮놨돪싊쿖쿳,쟒탂막퇩뇤솿쿔훸탔뗄t-춳볆솿뗈뻟폐웤뇪ힼ뗄럖짪릺뎬뛮놨돪싊돊짏짽뗄쟷쫆.늼,룹뻝헢킩춳볆솿뗄춳볆췆뛏닅쓜폐뻝뿉탐뫍캪쇋뗃떽뺡솿볲뷠뗄쒣탍,닉폃Hendry뗄폐킧뿉뾿.퓚놾컄훐,쫗쿈뛔쯹닉폃뗄쫽뻝뷸탐쇋듓튻냣떽쳘쫢뗄쒣탍뇤솿톡퓱랽램,좥뗴볬퇩늻ADF뫍Phillips2perron욽컈탔볬퇩,쯹폐헢킩볬쿔훸뗄뇤솿,ퟮ뫳뗃떽죽쓪훐룷쓪뗄믘맩랽돌:퇩뇭쏷쯹닉폃뗄쫽뻝캪욽컈탲쇐,퓚듋욽컈탔쿂,1996쓪믘맩랽돌캪:E=+(1)(1)+Ε()()()()()()()()()()()()(뗚1탐삨뫅샯뗄쫽ퟖ쫇뇪ힼ컳닮,뗚2탐삨뫅샯뗄쫽ퟖ쫇t-춳볆솿)룃랽돌뗄튻킩쿠맘볬퇩뷡맻죧쿂:R2=ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡDW=ꆡꆡꆡꆡꆡꆡꆡꆡF=(2)=()LM(4)=()LM(8)=()ARCH(1)=()ARCH(2)=()ARCH(3)=()RESET(2)=()RESET(3)=(0)RESET(4)=(0)WH(nocrossterms)=()WH(withcrossterms)=()(삨뫅샯뗄쫽ퟖ쫇뷓쫜쿠펦쇣볙짨뗄룅싊)ꆡꆡ쯹폐뗄춳볆볬퇩뚼쫇쿠떱늻듭뗄,랽돌쫇컈뛠,퓲웤뎬뛮놨돪싊풽뗍;샭싛짏죏릺훐잩싊풽뚨뗄.듓룃랽돌훐뿉틔뾴돶:탂막짪릺뎬뛮쫕틦싊뗍,뇭쏷쫐뎡춶헟뛔탂막뗄탨쟳뻍풽듳,뻍웤뻹뫍막욱뗄랢탐쫽솿ꆢ죏릺훐잩싊틔벰막욱랢탐볛뫢뗣뛸퇔,탂막짪릺뎬뛮쫕틦싊폫죏릺훐잩싊돉룱뗈뇤솿쿔훸쿠맘,폫웤쯻뇤솿뗄쿠맘탔늢늻쿔쿠랴맘쾵,헢튲췪좫럻뫏릩쟳맦퓲;뛸랢탐볛룱뗄훸.평룃믘맩랽돌뿉틔뾴돶:탂막짪릺뎬뛮쫕틦싊룟뗍퓲펰쿬ퟅ뛔탂막뗄탨쟳솿,쯹틔탂막랢탐볛폫탂막랢탐쫽솿ꆢ죏릺훐잩싊틔벰막욱랢탐볛룱룱뫍탂막짪릺뎬뛮쫕틦싊돉쿠랴맘쾵,헢튲랴펳돉랴뇈맘쾵.틀뻝릩쟳맦퓲뿉횪,막욱랢탐쫽솿풽쇋릩쟳맘쾵뗄ퟷ폃.평랽돌훐뿉틔뗃돶,탂막짪릺' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆪ48ꆪ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2000쓪3퓂뎬뛮쫕틦싊뫍룃짏쫐릫쮾떱쓪뗄뺻닺쫕틦싊ꆢ쫐뎡뗄탂막짪릺뎬뛮놨돪싊늻쫜짏쫐릫쮾놾짭뗄룃막욱짏쫐떱퓂뗄듳엌욽뻹쫕틦쟩뿶틔벰막욱랢튵벨쟩뿶뫍헻룶쫐뎡듳엌쟩뿶뗄펰쿬,뛸췪좫쫇탐떽짏쫐뗄쪱볤볤룴뎤뛈뗈뇤솿뻹컞맘.평틔짏튻훖평릩쟳맘쾵뻶뚨뗄쫐뎡,뇭쏷1996쓪뗄횤좯뗄럖컶뿉횪,1996쓪,평폚퇫탐뗄솽듎붵뗍샻싊,튻벶쫐뎡쫇튻훖럇샭탔뗄춶믺탔쫐뎡.듳솿쿐훃뷰쇷죫횤좯쫐뎡,쫜듋펰쿬,횤좯튻벶1997쓪믘맩랽돌캪:E=+++(1)(1)()()()()()()()()()()()()()()(뗚1탐삨뫅샯뗄쫽ퟖ쫇뇪ힼ컳닮,뗚2탐삨뫅샯뗄쫽ퟖ쫇t-춳볆솿)R2=ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡDW=ꆡꆡꆡꆡꆡꆡꆡꆡF=(2)=()LM(4)=()LM(8)=()ARCH(1)=()ARCH(2)=()ARCH(3)=()RESET(2)=(0)RESET(3)=(0)RESET(4)=11(0)WH(nocrossterms)=()WH(withcrossterms)=()(삨뫅샯뗄쫽ퟖ쫇뷓쫜쿠펦쇣볙짨뗄룅싊)ꆡꆡ듓룃랽돌훐뿉틔뾴돶:퓚1997쓪,탂막짪릺쳡룟훁5ꇫ.퇫탐뫍횤좯캯뗄쯹폐헢킩헾닟튻랽뎬뛮쫕틦싊돽쫜탂막랢탐쫽솿뫍랢탐볛룱뗈랴펳쏦볓듳쇋횤좯쫐뎡뗄릩룸솿,쇭튻랽쏦튲쿞훆쇋쫐뎡릩쟳맘쾵뗄뇤솿뗄펰쿬횮췢,랢탐막욱떱쓪쫐뎡뛔탂막뗄탨쟳솿.쯹틔,1997쓪돽탂막랢탐뗄릫쮾뺻닺쫕틦싊틔벰탂막랢탐짏쫐떱웚뗄듳쫽솿ꆢ탂막랢탐볛룱뗈랴펳쫐뎡릩쟳쟩뿶뗄뇤솿엌욽뻹쫕틦싊뗈뇤솿뛔탂막짪릺뎬뛮놨돪싊튲폐뛔횤좯튻벶쫐뎡뗄탂막짪릺뎬뛮놨돪싊폐쿔훸펰쿔훸펰쿬.평룃믘맩랽돌뿉틔뾴돶:탂랢탐막욱뗄쿬횮췢,퓚1996쓪뛔탂막짪릺뎬뛮놨돪싊쎻폐쿔릫쮾떱쓪뗄뺻닺쫕틦싊풽룟,탂막랢탐짏쫐떱훸펰쿬뗄랢탐막욱뗄짏쫐릫쮾떱쓪뗄뺻닺쫕틦웚듳엌욽뻹쫕틦싊풽룟,퓲탂막짪릺뎬뛮놨돪싊싊ꆢ춬웚듳엌욽뻹쫕틦쟩뿶뗈뇤솿,퓚1997쓪돉튲뻍풽룟,헢뇭쏷쫐뎡춶헟풽살풽뾴훘랢탐막캪뛔탂막짪릺뎬뛮놨돪싊폐쿔훸펰쿬뗄뇤솿.평욱뗄릫쮾뗄펯샻쟩뿶틔벰탂막짏쫐쪱웚듳엌뗄뇭듋뿉틔뾴돶,1997쓪횤좯튻벶쫐뎡짏,릩쟳맘쾵쿖.헢뇭쏷,쯦ퟅ1996쓪퇫탐솽듎붵뗍샻싊,듳솿죔쫇튻룶펰쿬탂막짪릺뎬뛮놨돪싊뗄훘튪틲쯘,쿐훃뷰쇷죫횤좯쫐뎡,횤좯쫐뎡짏돶쿖쇋듳솿떫춶헟퓚짪릺탂막뗄쪱뫲풽살풽힢훘짏쫐릫쮾엝쒭,퇫탐뫍횤볠믡캪쇋맦랶쫐뎡,퓚1996쓪12뗄뺭펪쟩뿶뫍횤좯뛾벶쫐뎡뗄뇭쿖,헢뇭쏷춶퓂16죕랢뇭쇋죋쏱죕놨짧쳘풼움싛풱컄헂,춬쪱헟퓚짪릺탂랢탐짏쫐뗄막욱쪱뾪쪼뾼싇ퟔ벺뗄춶릫늼1996쓪랢탐짏쫐뛮뛈캪100틚,쯦뫳폖ힷ볓쓜럱믱뗃풤웚뗄쫕틦.헢쮵쏷1997쓪훐맺뗄횤1996쓪랢탐짏쫐뛮뛈50틚,1997쓪랢탐짏쫐뛮좯튻벶쫐뎡퓚훰붥ퟟ쿲샭탔뫍돉쫬.뛈300틚.늢퓚4퓂럝냑횤좯쫐뎡붻틗쮰평3ꇫ1998쓪믘맩랽돌캪:E=++Ε()-3()()()()()()()(뗚1탐삨뫅샯뗄쫽ퟖ쫇뇪ힼ컳닮,뗚2탐삨뫅샯뗄쫽ퟖ쫇t-춳볆솿)R2=ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡDW=ꆡꆡꆡꆡꆡꆡꆡꆡꆡF=(2)=()LM(4)=()LM(8)=()ARCH(1)=()ARCH(2)=()ARCH(3)=()RESET(2)=(0)RESET(3)=(0)RESET(4)=(0)WH(nocrossterms)=()WH(withcrossterms)=()(삨뫅샯뗄쫽ퟖ쫇뷓쫜쿠펦쇣볙짨뗄룅싊)' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
뗚1웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ췵뻼늨뗈:훐맺횤좯튻벶쫐뎡럖컶ꆪ49ꆪꆡꆡ쯹폐뗄춳볆볬퇩뚼쫇쿠떱늻듭뗄,랽돌쫇컈뗄횤좯쫐뎡뒦폚룕웰늽뷗뛎,쫐뎡맦쒣뷏킡뗈풭뚨뗄.듓룃랽돌훐뿉틔뾴돶:탂막짪릺뎬뛮쫕틦싊틲쯹훂.뫍막욱뗄랢탐쫽솿ꆢ죏릺훐잩싊틔벰막욱랢탐릫(1)짏쫐뛮뛈볆뮮럖엤.헽뎣뗄막욱쫐뎡훐,쮾떱쓪뗄뺻닺쫕틦싊뗈뇤솿쿔훸쿠맘,폫웤쯻짏쫐쫇내헕쏷컄릫늼뗄뇪ힼ뫍돌탲쿂뗄ퟔ풸짪쟫뇤솿뗄쿠맘탔늢늻쿔훸.평룃믘맩랽돌뿉틔뾴돶:훆뛈.웳튵횻튪럻뫏뇪ힼ,뺭맽짳닩뫏룱,뚼뿉틔탂막짪릺뎬뛮쫕틦싊뫍탂막랢탐쫽솿ꆢ죏릺훐잩짏쫐.릫쮾짏쫐뫳,볈튪뛔릫훚뢺퓰,쫜떽릫훚뗄싊뗈뇤솿돉랴뇈맘쾵,뛸폫막욱랢탐릫쮾떱쓪뗄볠뚽,돐떣뇈럇짏쫐릫쮾뛠뗃뛠뗄엻슶탅쾢뗄틥뺻닺쫕틦싊돉헽뇈맘쾵.틀뻝릩쟳맦퓲뿉횪,막컱뫍믘놨막뚫춶뗄퓰죎,뮹튪쏦쇙튵벨늻병놻욱랢탐쫽솿풽뛠,퓲웤뎬뛮놨돪싊풽뗍;샭싛짏죏볦늢뗄캣쿕.틲듋,짏쫐쫇럱폐샻ꆢ쫇럱톡퓱짏쫐릺훐잩싊풽뗍,뇭쏷쫐뎡춶헟뛔탂막뗄탨쟳뻍틔벰뫎쪱짏쫐붻틗뗈풭퓲짏쫇쫐뎡탐캪.뛸퓚컒풽듳,뻍웤뻹뫢뗣뛸퇔,솽헟돉쿠랴맘쾵,헢췪좫맺평폚횤좯쫐뎡룕룕웰늽,뮹뒦폚쪵퇩뷗뛎,춶럻뫏릩쟳맦퓲;뛸죴춶헟쫇샭탔춶헟,퓲웤퓚헟뗄춶뫍럧쿕틢쪶뮹뫜늻돉쫬,뛔횤좯뗄춶짪릺탂막쪱,쫗쿈뾼싇뗄쫇룃릫쮾뗄뺭펪쟩뿶벰볛횵뗄럖뇦쓜솦뮹뫜놡죵,캪쇋놣뮤춶헟뗄샻쫇럱쓜뗃떽풤웚뗄쫕틦.쯹틔죴릫쮾뗄뺭펪쟩뿶틦,뇜쏢돶쿖ꆰ튻뫥뛸짏ꆢ튻럅뻍싒ꆢ튻싒뻍쫕ꆢ튻풽뫃쫕뻍쯀ꆱ뗄뛱탔톭뮷,듙쪹횤좯쫐뎡뗄붡뾵랢햹,,뺻닺쫕틦싊풽룟,퓲춶헟뗄춶폻췻튲뻍풽잿,쯹틔웤뎬뛮놨돪싊튲뻍풽룟.평랽돌훐뿉훐맺닉폃짏쫐릫쮾짳뫋훆,횤좯맜샭믺릹폐좨엺틔뗃돶ힼ뫍낲업릫쮾뗄짏쫐짪쟫,듓뫪맛짏뿘훆횤좯랢,탂막짪릺뎬뛮쫕틦싊폫룃막욱짏쫐떱퓂뗄듳엌욽뻹쫕틦쟩뿶컞맘,폫막욱랢탐떽짏쫐뗄탐ꆢ짏쫐뷚ퟠ,춬쪱뮹뛔릫뾪랢탐막욱뗄릫쮾뗄짪쪱볤볤룴뎤뛈컞맘,폫막욱뗄랢탐볛룱튲컞맘.평쟫짏쫐듓놾ꆢ믱샻쓜솦ꆢ막놾뷡릹뗈랽쏦뚼ퟶ돶틔짏뗄럖컶뿉횪,1998쓪,평폚퇫탐솬탸솽듎붵뻟쳥맦뚨.믹놾쳵볾럻뫏틔뫳,탨울쟫닺움맀믺뗍샻싊릹ꆢ힢닡믡볆쪦쫂컱쯹ꆢ싉쪦쫂컱쯹뗈뫋뛔헊ꆢ움,춬쪱횤좯쫐뎡뗄횤좯붻틗럑폃튲평5ꇫ쿂뗷훁4ꇫ,쫜듋헾닟뗷헻뗄펰쿬맀닺ꆢ쳡돶램싉틢쿲쫩뗈,뛔짏쫐횤좯뷸탐퇏룱,듳솿쿐훃뷰퓙듎쇷죫횤좯쫐뎡,뛔탂막뗄탨쟳솿듳럹짏짽냑맘.쯹폐헢튻쟐떼훂짏쫐뗄릩룸뫍쫐뎡죝솿뻸.뛸춬쪱,캪쇋놣돖뗍쏔뗄횤좯뛾벶쫐뎡뗄컈뚨뛔늻욽뫢.엜짏쫐횸뇪돉쇋룷벶헾뢮ퟮ훘튪튲쫇,횤볠믡복싽쇋탂막욱뗄짏쫐쯙뛈.쫜듋펰쿬,횤좯튻벶ퟮ삧쓑뗄죎컱횮튻.헢샯볈폐좨샻늿쏅뗄볆뮮욫쫐뎡퓙듎돶쿖쇋탂막릩탨뗄쪧뫢,탂막짪릺뎬뛮뫃,튲폐퓚볈뚨뷡릹쿂쟳듳폚릩뗄컞쓎.틲듋,믱놨돪싊퓙듎쫜떽릩쟳맘쾵뗄펰쿬.뛸춬쪱,막욱짏ힼ짏쫐뻍뗈폚룸쇋튻룶뫏램뗄컞뎥돯좦잮뗄좨쫐릫쮾뗄떱쓪뺻닺쫕틦싊뛔횤좯튻벶쫐뎡탂막솦,뛸쟒늻듦퓚쎻폐탐헾뻶뚨뻍퓚뺭볃짏춣없웆짪릺뎬뛮쫕틦싊튲폐쿔훸뗄펰쿬.헢쮵쏷닺뗄뿉쓜.틲듋,짏쫐릫쮾뗄뛮뛈놾짭뻍뻟폐볛횵1998쓪훐맺뗄횤좯튻벶쫐뎡튻랽쏦폐탂막릩탨쪧뫢뗄쿖럆잳뗄ꆰ몬뷰솿ꆱ.헢떼훂쫐뎡탨쟳풶듳폚쫐뎡뗄쿳릩룸,튲뻍늻쓑뷢쫍캪쪲쎴훐맺탂막죏릺훐잩싊,떫헻룶쫐뎡춶헟쿠뷏1996쓪뗄쫐뎡춶헟,쫇샭탔뛸돉쫬뗄,훐맺뗄횤좯튻벶쫐뎡퓚훰늽쫇죧듋횮뗍쇋,뛸탂막짪릺뗄뎬뛮놨돪싊쫇죧듋ퟟ쿲돉쫬횮룟쇋..(2)볆뮮볛룱랢탐.퓚튻룶헽뎣뗄횤좯쫐뎡훐,탂짏쫐릫쮾뗄막욱볛룱쫇평믹폚뛔웤쓚퓚볛4ꆡ훐맺횤좯튻벶쫐뎡듦퓚탂막짪릺횵에뛏뗄릩쟳맘쾵뻶뚨뗄.뛔폚튻룶탂짏쫐릫쮾뎬뛮놨돪싊뗄풭틲럖컶살쮵,ퟜ쫇쾣췻웤막욱짏쫐랢탐볛룱풽룟풽뫃,짏쫐볛룱풽룟,뻍뇭쏷풭폐닆닺싴돶쇋뫃볛잮,뻍쓜훐맺횤좯튻벶쫐뎡듦퓚탂막짪릺뎬뛮놨돪싊돯벯룼뛠뗄뷰,듓뛸폐샻폚짏쫐릫쮾뷱뫳뗄랢볈풴폚훐맺횤좯튻벶쫐뎡놾짭뗄릹퓬좱쿝,벴쯼햹.춬퇹,뛔폚ힼ놸릺싲짏쫐릫쮾막욱뗄탂막뚫살볌돐쇋볆뮮뺭볃뗄믹놾쓚뫋:짏쫐뛮뛈볆뮮럖엤,쮵,ퟜ쫇쾣췻랢탐볛풽뗍풽뫃.릩탨횮볤뗄욽뫢튻막욱내볆뮮볛룱랢탐뗈좱쿝,춬쪱폖쫇평폚훐맺냣쫇평돐쿺막욱랢탐뗄횤좯릫쮾폫짏쫐릫쮾쳖볛' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆪ50ꆪ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2000쓪3퓂뮹볛살듯돉.짏쫐릫쮾풸틢퓚돶ퟮ뫃볛룱폖ퟮ폐쿖쿳,뻍쫇탂짏쫐릫쮾랢탐막욱뗄볛룱,늻쫇내헕탅폾뗄횤좯짌훐,쳴톡튻볒ퟷ캪ퟔ벺뗄짏쫐듺샭믹폚뛔웤쓚퓚볛횵풤닢뗄쫐뎡볛룱,뛸쫇내헕훷릫쮾.죧맻ퟮ뫳쫐뎡짏뗄막욱랢탐볛룱룟폚쮫랽맜늿쏅훆뚨뗄풶뗍폚쫐볛뗄볛룱랢탐(죧A막맦짌뚨뗄랢탐볛룱,횤좯짌뻍뿉틔뗃떽튻뇊뿉맛뗄뚨웤랢탐볛룱뗄쫐펯싊늻뗃뎬맽15놶).뛸쿖뷱랢탐럑.랴횮,떱막욱내쮫랽짌뚨뗄볛룱싴늻돶좥훐맺횤좯쫐뎡뛾벶쫐뎡뗄욽뻹쫐펯싊캪40ꆫ70뗄쪱뫲,횤좯짌뻍튪쏉쫜쯰쪧.퓚헢샯,막욱랢탐놶횮볤,쯹틔탂랢탐짏쫐뗄막욱쪵볊짏쫇틔뷶쿠짏쫐릫쮾ꆢ돐쿺막욱랢탐뗄횤좯릫쮾뫍쯹폐틔랢떱폚쫐뎡볛룱뗄벸럖횮튻뗄벫뗍볛룱돶쫛.뇭4탐볛죏릺막욱뗄죋춬퇹돐떣짏쫐볛룱늻좷뚨뗄럧쫇1997쓪1-6퓂(뷘횹1997쓪6퓂20죕)짮뮦쿕,뿉쓜튲뿉쓜엢,쫕틦폫럧쿕쫇뛔펦뗄.솽쫐뛾벶쫐뎡막욱쫐펯싊뫍춬웚퓚짮뮦솽쫐짏쫐뛸퓚떱잰훐맺횤좯튻벶쫐뎡뗄튻룶ퟮ웦맖뗄뗄탂막뗄욽뻹쫐펯싊.뇭4ꆡ튻ꆢ뛾벶쫐뎡쫐펯싊뇈뷏쫐뎡퓂ꆡꆡꆡꆡ럝1퓂2퓂3퓂4퓂5퓂6퓂뮦짮솽쫐탂막뮦쫐탂막뮦쫐뛾벶쫐뎡ꆡꆡ쇏살풴:ꆶ훐맺횤좯놨ꆷ1997쓪7퓂18죕ꆢ22죕ꆢ28죕ꆡꆡ평폚폃볆뮮뗍볛랢탐탂막,튻ꆢ뛾벶쫐뎡맽듳쫐뎡뗄죽듳횧훹뗄막욱ꆢ믹뷰ꆢ햮좯틑룷뻟맦쒣.뗄닮볛떼훂막욱죏릺쫐뎡벴횤좯튻벶쫐뎡뗄컞럧웤훐막욱쫐뎡뗄짏쫐릫쮾쫽솿ꆢ쇷춨막놾벰쫐볛쿕놩샻,컼틽룷훖짧믡뷰틔뫏램폫럇램뗄춾뺶ퟜ횵뗈뻹폐쇋뫜듳뗄랢햹.뷘횹1998쓪6퓂30럤펵뛸훁,떼훂죏릺쫐뎡짏뗄릩쟳쪧뫢,죅싒쇋헽죕,짮뮦솽쫐막욱랢탐ퟜ쫽틑듯890횻,ퟜ막놾뎣뗄뺭볃믮뚯뫍뷰죚훈탲,훺뎤쇋춶믺횮럧.틚막,쇷춨막놾틚막,쇷춨랢탐1995ꆢ1996쓪퓚횤좯쫐뎡짏,쎿떱폐탂막랢탐짏ퟜ쫐횵틚풪,쫐볛ퟜ횵틚풪.쫐,횤좯횸쫽뻍믡돶쿖듳럹쿂뗸뗄쿖쿳,헢쮵쏷듳쯤좻막욱쫐뎡뗃떽쇋벫듳뗄랢햹,떫웤퓚맺쏱짺솿뗄뷰듓횤좯뛾벶쫐뎡틆떽횤좯튻벶쫐뎡닺훐쯹햼뗄뇈훘죔좻뫜뗍,헻룶횤좯쫐뎡뗄쫐볛훐.춬쪱,평폚볆뮮볛퇏훘뗍폚쫐뎡릩쟳욽뫢볛,ퟜ횵폫쇷춨쫐횵햼맺쏱짺닺ퟜ횵(틔1997쓪캪믹쪹뗃웳튵짏쫐랢탐뗄듳늿럖뫃뒦실죫맺쓚췢뷰쫽)뗄뇈훘럖뇰캪30%뫍8%ퟳ폒,뛸춬웚틸탐듦뢻ퟣ뗄죏릺헟쫖훐.맺쓚A막탂막짏쫐떱쳬뮻쫖뿮듯떽8췲뛠틚풪,쯦ퟅ퇫탐캪쇋듌벤뺭볃뗄랢싊튻냣룟듯70%틔짏,짏쫐죴룉쳬뮻쫖싊뻹뎬맽100%뗄쫂쪵쮵쏷,뻸듳뛠쫽죏릺헟뚼늻쫇뎤웚춶햹뛸뗷뗍듦듻뿮샻싊,뻓쏱뫍룷짧믡훷쳥춶틢헟쪶뗄돉쫬,틸탐뗄듳솿듦뿮붫슽탸쇷죫횤좯쫐뎡,뛸쫇틔쒲좡뛌웚놩샻캪쒿뗄뗄춶믺헟.헢룸짏쫐릫쮾뗄돉뎤뫍막욱쫐뎡뗄컈뚨랢햹듸살뫜듳뷸탐횱뷓춶.퓚헢훖쟩뿶쿂,쿖폐뗄횤좯쫐뎡맦뗄틾뮼쒣뻍쿔뗃컞램싺ퟣ춶헟뗄춶틢풸,떼훂횤좯.쫐뎡짏돶쿖쟳풶듳폚릩뗄뻖쏦,쪹뗃횤좯튻벶쫐(3)횤좯쫐뎡뒦폚랢햹뷗뛎,쫐뎡맦쒣죝솿킡.돉쫬뗄맺볊횤좯쫐뎡짏,횤좯욷훖뛠퇹뮯,막뎡짏돶쿖듳럹뗄탂막짪릺뎬뛮놨돪싊.욱ꆢ죏막좨횤ꆢ맺햮ꆢ룷훖횸쫽웚믵뫍웚좨ꆢ웤쯻룷훖햮좯뗈쫽쒿훖샠랱뛠5ꆡ헾닟붨틩,쫐뎡죝솿뻞듳,춶헟톡퓱쏦뿭.샽죧:죕놾퓚1993쓪,뷶뚫뺩막욱쫐뎡뻍폐1800폠볒짏쫐릫쮾,쫐볛ퟜ횵듯2500틚쏀풪.평틔짏뗄럖컶뿉횪,컒맺뗄횤좯튻벶쫐뎡듦쏀맺퓚1995쓪,얦풼횤좯붻틗쯹뻍폐3200폠볒퓚ퟅ짏쫐뛮뛈볆뮮럖엤ꆢ볆뮮볛룱랢탐틔벰쫐뎡짏쫐릫쮾,NASDAQ폐뷼6000훖횤좯릩춶헟맦쒣맽킡뗈늻맦랶뫍늻샭쿫뗄뗘랽.캪쇋뷢뻶횤붻틗.훐맺횤좯쫐뎡뺭맽쪮폠쓪뗄랢햹,ퟷ캪횤좯좯튻벶쫐뎡짏뗄춶믺퇏훘,짪릺탂막뻟폐뎬뛮컞' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
뗚1웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ췵뻼늨뗈:훐맺횤좯튻벶쫐뎡럖컶ꆪ51ꆪ럧쿕놨돪싊뗈쿖쿳,맦뇜뫍럀랶뷰죚럧쿕,펦닉좡(3)삩듳막욱짏쫐맦쒣,듙뷸맺볒막뫍램죋막탂뗄헾닟살뿘훆맦랶횤좯쫐뎡:뗈럇쇷춨막짏쫐쇷춨.퓚훐맺막욱쫐뎡짏쫐뗄춬(1)럏횹볆뮮뛮뛈럖엤,닉폃맺볊짏춨폃뗄놸튻릫쮾뗄막럝,놻뮮럖캪쇷춨막뫍럇쇷춨막,퓚쇷낸훆짳닩,훆뚨돶쏷좷뗄룟뇪ힼ폖죝틗퇩횤뗄짏춨막훐,폖럖캪A막ꆢB막ꆢH막뗈,퓚럇쇷춨막쫐룱뇪ힼ,쪵탐짏쫐룱짳닩.평쾣췻랢탐짏쫐훐,폖냼몬맺폐막뫍램죋막,웤훐럇쇷춨막럝햼ퟜ뗄릫쮾룹뻝막욱쫐뎡뗄뇤뮯ퟔ탐뻶뚨막욱랢탐쫽막럝뗄듳풼70%,쇷춨막럝횻햼ퟜ막럝뗄30%ퟳ솿뫍랢탐쪱믺.횤좯맜샭늿쏅뫍횤좯붻틗쯹횻뛔폒.1996쓪틔살,쯦ퟅ퇫탐뗄벸듎뗷뗍샻싊,듳솿짪쟫짏쫐뗄릫쮾뷸탐탎쪽짳뫋,뛔랢탐릫쮾놾짭뷰쇷죫횤좯쫐뎡,뛸횤좯릩룸쫽솿뷏짙,쫐뎡맦뗄뺭펪늻볓룉짦.헢퇹뗄뫃뒦쫇놣돖헾뢮뫍횤좯쒣첫킡,떼훂듳솿뷰훍쇴폚횤좯튻벶쫐뎡훐.횤붻틗쯹뗄훐솢탔,램싉퓰죎췪좫평랢탐웳튵뫍돐좯튻벶쫐뎡뷰폫횤좯릩룸뗄뇈샽맘쾵쪧뫢,뇘쿺짌ퟔ탐돐떣,늢쪹춶헟쓜릻돤럖죏쪶ꆰퟔ풸춶좻닺짺늿럖엝쒭쿖쿳,늢뛔뎡췢뷰닺짺튻뚨뗄ꆢퟔ훷뻶닟ꆢퟔ떣럧쿕ꆢퟔ뢺뫳맻ꆱ헢튻막욱쫐뎡쪾랶ퟷ폃,폕랢탂뗄뷰뷸죫횤좯튻벶쫐뎡.쯹뗄믹놾쳘헷,쪹컒맺막욱쫐뎡평ꆰ뾴늻볻뗄쫖ꆱퟔ틔,퓚떱잰횤좯튻벶쫐뎡짏,튻랽쏦쫇뛔막욱뗄뻞탐뗷뷚.막욱랢탐쯦탐뻍쫐,쪹릫쮾쫇럱랢탐막듳탨쟳뫍릩룸뗄퇏훘늻ퟣ;쇭튻랽쏦쫇듦퓚듳솿욱,랢탐뛠짙,짏쫐쪱볤뗈탐캪돉캪튻훖헦헽뗄쫐뗄늻쓜짏쫐쇷춨뗄맺볒막뫍램죋막,듳솿뗄웳튵뎡탐캪,뛸늻퓙쫇튻훖탐헾탐캪.탨튪퓶복햮,탨튪춨맽룄룯ꆢ룄ퟩꆢ룄퓬풭폐쳥(2)럏횹볆뮮볛룱,쪩탐뺺볛랢탐뗄랽쪽랢탐훆,붨솢탂뗄믺훆.틲듋,뿉틔돤럖샻폃횤좯튻벶탂막욱.퓚떱잰맦퓲뫜늻붡좫뗄횤좯쫐뎡쳥쾵쿂,쫐뎡폙믽뗄뫍볌탸퓶볓뗄믵뇒뷰,볓듳탂막뗄캪쇋놣횤릫쮾뗄쮳샻맬뫍랢탐짏쫐,횤좯볠맜랢탐솦뛈,냑럻뫏맺볒닺튵뫍닺욷믲헟쟸폲랢햹믺릹죋캪뗘맦뚨쇋랢탐볛룱뗄뷏뗍쫐펯싊,틔듋헾닟뗄풭맺폐듳훐탍웳튵,춨맽막럝훆룄퓬랢탐살펮뗃짧믡쿐즢뷰뫍횤좯뛾벶쫐뎡뷰뗄횧탂막뛸췆쿲횤좯쫐뎡,퓶볓뛔웳튵뗄춶죫,쪵쿖돖,듓뛸샻폚랢탐릤ퟷ뗄쮳샻췪돉,떫컒쏇튲펦뾴ꆰ뻓쏱듦뿮뷰ꆪ횤좯쫐뎡춶뷰ꆪ릺싲웳튵떽헢훖랢탐볛룱늻뿉뇜쏢뗘떼훂쫐뎡춶믺탐캪뫍횤좯ꆪ웳튵쪵쿖돯ꆪ짺닺쇷춨쇬폲뷰ꆱ뗄솼탂막죏릺뎬뛮놨돪싊뗄닺짺,떼훂뷰듳솿펿죫탔톭뮷.퓊탭튻쓪믲헟죽쓪틔짏뗄맺볒막ꆢ램죋막횤좯튻벶쫐뎡,쪹횤좯뛾벶쫐뎡쿝죫뎤웚뷰?엤뗄룶죋막쫊쪱짏쫐쇷춨,ퟮ훕듙뷸맺볒막뫍랦뗄뺳뗘,뛸뛾벶쫐뎡뗄뎤웚뗍쏔붫늻뿉뇜쏢뗘램죋막뗈럇쇷춨막욱짏쫐쇷춨,헢쫇좷놣횤좯쫐펰쿬튻벶쫐뎡짏횤좯뗄쮳샻랢탐,쪹횤좯쫐뎡뷸뎡삩듳닺듦솿뗄ퟮ폐킧춾뺶,룼쫇퓶듳쫐뎡맦죫튻훖뛱탔톭뮷,듓뛸늻샻폚횤좯쫐뎡뗄뎤웚랢쒣,엌믮쿖폐웳튵듦솿닺늢듙쪹웤붨솢뺭펪탂햹.뷢뻶헢룶컊쳢뗄랽램춬뷢뻶볆뮮뛮뛈럖엤뗄믺훆뗄ퟮ폐킧냬램,튲쫇뷢뻶훐맺횤좯쫐뎡맦쒣랽램튻퇹,뻍쫇닉폃맺볊춨폃뗄힢닡훆,횤좯맜샭벰웤뷡릹뗄맘볼.늿쏅뫍횤좯붻틗쯹횻뛔짪쟫짏쫐뗄릫쮾뷸탐탎쪽ퟜ횮,훐맺횤좯튻벶쫐뎡죽쓪뗄쪵횤퇐뺿뇭짳뫋,늻퓙잿훆맦뚨탂짏쫐릫쮾뗄짏쫐볛룱쫐펯쏷,떱잰훐맺뗄횤좯튻벶쫐뎡듦퓚ퟅꆰ탂막짪릺뎬싊,막욱랢탐쯦탐뻍쫐,평랢탐짏쫐뗄릫쮾뫍횤좯뛮놨돪싊ꆱ쿖쿳,훐맺횤좯튻벶쫐뎡듦퓚ퟅ튻뚨뗄돐쿺짌룹뻝막욱쫐뎡뗄쟩뿶킭짌뻶뚨막욱랢탐볛컊쳢,떫듓죽쓪뗄뇈뷏쪵횤퇐뺿뿉틔뾴돶,횤좯튻룱,쪹막욱랢탐볛룱돉캪튻훖쫐뎡탐캪,뛸늻퓙쫇벶쫐뎡퓚훰붥ퟟ쿲샭탔뫍돉쫬.튻훖탐헾탐캪.닎뾼컄쿗:\[1\ꆡ][J\].JournalofFinancialEconomics,1975,2,235ꆫ272\[2\ꆡ]IbbotsonRG,[M\].,,HandbooksofOperationsResearchandManagementScience:Finance,North2Holland,1995,993ꆫ1016' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
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