基于SV模型时变参数的中国股市政策效应研究

A Research on Time-varying Parameters of SV Model and the Policy Effects of Chinese Stock Market

政策效应是一种广泛的现象,但在我国尤为突出。文章通过对SV模型参数集的时变特性研究表明,时变的参数能够有效地反映我国股市的动态过程。SV模型的这一特性,能够检验我国股票市场的政策效应现象,并解释金融时间序列数据的“杠杆效应”。实证得出我国股市政策效应正逐渐减弱,杠杆效应逐渐显著的结论,表明我国股市逐渐走向成熟和完善,与我国股市发展的历史和现状相符。

Policy effect is a universal phenomenon that is more prevalent in China. A time varying feature of the parameters of ASARMAV （1,0） is investigated using EMM. As a result, this feature reflects the dynamics and policy effects of the Chinese stock market. It can also explain the leverage effect in the stock market. The empirical results show that the Chinese stock market is becoming more mature, the policy effects are weakened and the leverage effect is gradually more visible. The conclusion is consistent with the history and the reality of the Chinese stock market.