摘要
通过基于滚动样本的检验方法,实证发现中国证券市场的波动不对称性是随着时间而演变的。1997年之后,中国股市的波动不对称性与成熟市场相同起来,杠杆效应显著出现。研究还发现,波动不对称性与市场所处的状态无关。
The asymmetricy of fluctuation in Chinese stock markets was studied empirically by using rolling sample tests. It was found that this asymmetricy varied with the time and identified since 1997 with the matured markets. Thus, the leverage effect has appeared remarkably in Chinese stock markets. It was seen that the asymmetricy of the stock markets fluctuation has nothing to do with the stock market price.
出处
《管理学报》
2006年第3期366-370,共5页
Chinese Journal of Management
关键词
波动
不对称
时变
fluctuation
leverage effect
time varying
