基于阶段划分的股市信息冲击的非对称性分析

Asymmetry Analysis of Stock Market Information Impact Based on Stages

基于AR-EGARCH-M模型,对1991-2013年上证指数收益率序列的信息冲击非对称性进行分析.首先以年为单位分析了信息冲击的非对称性特征,根据非对称性效应的表现将其划分为6个阶段进一步分析.分析结果显示:A股市场表现出信息不对称性,信息冲击的正负杠杆效应交替出现,但是随着时间的推移,这种不对称性在明显减小.这表明中国股票市场的投机成分不断减少、投资者不断趋于理性,市场有效性水平提高.

This paper analyzed the asymmetry of information impact using Shanghai Composite Index yields sequence in 1 991-2013 based on AR-EGARCH-M model.First,this paper analyzed the asymmetry characteristics of information impact on Shanghai Composite Index in the years;then Shanghai Composite Index was divided into six stages for further analysis.The re-sults showed that A stock market showed asymmetric information,and that positive and negative leverage of information impact appeared alternately.However,the asymmetry was significantly reduced at present.This suggests that speculative elements of China stock market continue to decrease,investors are becoming more rational,and the level of effectiveness of the A-share market are being improved.