中国证券市场的波动性——一个开收盘角度的实证研究

The Volatility of Chinese Stock Market——A Empricial Researk From the Open and Close

本文采用上证180的100只典型个股为样本对上海股市开收盘的波动性进行了实证研究,实证结论表明我国股市开盘回报的波动性显著大于收盘波动性。本文进一步对影响波动性的因素进行考察,认为开盘方式和开盘交易过程中释放的私人信息是造成上述现象的重要原因,因此着重从信息的代理指标-交易量的角度考察回报的波动性的差异。

Abstraet：This article studies the volatility of Shanghai Stock Market from the angle of the opening and closing, and employs 100 shares as a sample chosen from Shanghai Security Exchange 180. From these em- pirical researches it can be concluded that the volatility at the open is greater than that at the close. It may be caused by the open mechanism and the private information dispersed from the non-trading period. So this paper mainly investigates the volatility by employing the proxy of information-trading volume.