沪深股市的非对称性分析——基于对1996—1997年和2005年—2007年两轮牛市的比较

The Unsymmetrical Analysis of Stock Market in Shanghai and Shenzhen——Comparison of Two Bull Markets of 1996-1997 and 2005-2007

本文运用非对称ARCH族模型对两轮牛市作了非对称性定量的比较分析,描述了沪深股市中"好消息"和"坏消息"在牛市下对股市波动性的影响,通过分析试图证明,中国股市已逐渐成熟,并针对结果提出了一些看法和建议,以期能对本轮牛市下的投资者和相关政策制定者有一定的启示。

In this paper ARCH is used to analyze and compare the two bull markets of 1996 - 1997 and 2005 -2007 in an unsymmetrical way and describes the influences of＂good news＇and＂ bad news＂ on the stock market so as to prove China＇s stock market is growing to be mature. Some opinions and suggestions are put forward to give some revelations to the investors and policy - makers in this bull market of 2005 - 2007.