摘要
条件异方差是金融时间序列变量的一个典型特征。在分析沪深股市指数数据统计特征的基础上,用GARCH-M模型和门限ARCH(TARCH)模型分析2001年6月到2005年3月期间中国股市收益的波动特性,并对沪深两市进行比较,可以发现沪市内在的不确定水平比深市高,沪市市场上新的正面消息对市场波动性的影响则比深市大。中国股票价格的波动具有明显的杠杆效应,且沪深股票市场杠杆效应不同,当出现"利好消息"时,深市比沪市的冲击大,出现"利空消息"时沪市比深市的冲击大。
The conditional heteroscedasticity is a typical characteristic of finance time series.After summarizing the statistic characteristics of Shanghai and Shenzhen stock market index data this paper employs the GARCH-M model and the threshold ARCH(TARCH)model to analyze China's stock returns characteristics and make a comparison between the two stock markets from June,2001 to March,2005.The findings indicate there are more indefinite elements on Shanghai stock market and it is more easily influenced by positive news.China's stock price fluctuation reflects the obvious release lever effect,though Shanghai and Shenzhen stock markets have different expressions.On facing 'good news',Shenzhen market shows bigger reaction than Shanghai market while Shanghai market reacts more seriously to 'bad news'.
出处
《东南大学学报（哲学社会科学版）》
CSSCI
2007年第5期28-31,共4页
Journal of Southeast University(Philosophy and Social Science)
