中国股市开、收盘波动性的比较研究

Empirical Research on the Volatility of Opening and Closing in China's Stock Market

利用EGARCH模型,对2000年1月至2007年4月间沪深两市具有代表性的股票及指数的开收盘收益率的波动性进行实证分析,结果表明收益率序列有明显的ARCH效应,其波动性具有显著的非对称性的冲击的持续性;在样本期内,上交所的个股和指数未能观察到开盘波动性高于收盘波动性的现象,而深交所个股在2006年7月实施收盘集合竞价机制之后比较明显地观察到开盘波动性高于收盘波动性的现象。

By using the EGARCH model, we do empirical research on the volatility of opening and closing return in Shanghai- Shenzhen stock market, based on some typical stock and index from January 2000 to April 2007. The result shows that the series of return have ARCH effect and its volatility is asymmetry and clustering. In the sample period, for typical stock and index in Shanghai Stock Market, there is no evidence to show that volatility of opening is higher than that of closing. However, for typical stock in Shenzhen Stock Market, it is obvious that volatility of opening is higher than that of closing after the application of call auction closing trading mechanism in July 2006.