次贷危机事件窗沪深股市相关性研究

The correlation research of Shanghai and Shenzhen Stock Market of subprime crisis event

近几年,我国的金融市场经历了诸如股权分置改革、人民币汇率制度改革和次贷危机等一系列重大金融事件。本文对上海综合指数和深圳成份指数日收盘价的对数值进行统计描述的基础上建立ARCH族等随机模型对股指波动性进行研究,得出上海综合指数和深证成份指数的总体特征。

In recent years, Chinese financial market was affected deeply by a series of major financial events, such as share-trading reform, the RMB exchange rate reform and the U.S. sub prime lending crisis.Based on statisitical analysis of SZZ and SCZ date closing price,this paper builds statistical ARCH family model to analyze the stock index volatility,in which there is clear description of stock index of SZZ and SCZ in principle.