股市杠杆效应与溢出效应实证分析-GARCH模型之应用

A Positive Analysis About the Leverge and Spill Effects in Stock Market

通过使用广义自回归条件异方差GARCH模型对我国股市收益波动性的非对称性及波动性之间的互动性进行分析发现:在我国股票市场上,两效应在扩充样本区间内与国内文献构成一定的差异,与国外文献趋近一致。从此意义上说,我国股市正逐渐趋于理性,走向成熟。

this paper examines the asymmetry about return volatilities and interaction between the volatilities in China＇s stock markets by using the GARCH models. The two effects,leverage and spill,are shown to be different from the home literature[1]to some extend, but almost the same as the overseas[5], [10]. For this , it seems to clear for the China stock market to tend to be rational gradually.