中国股市非对称的波动性实证研究被引量：3

An Empirical Study of Asymmetric Volatility of Chinese Stock Market Based on Different Liquidity

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摘要关于金融资产收益的非对称的波动性,许多学者用GARCH类模型对低频数据进行了研究,而从高频数据及流动性分组角度进行考察的较少。文章以上证A股的5分钟高频数据为研究对象,在流动性分组的基础上,分析股票波动的非对称性。实证结果表明,对流动性好的股票而言,好消息增大波动性,坏消息减小波动性;而对流动性差的股票而言,好消息减小波动性,坏消息增大波动性。 Asymmetric volatility of return of financial asset has been studied by many scholars by using GACH model, but less from the view of high frequent data and liquidity difference, This paper attempts to analyse asymmetric volatility of Chinese stock market based on different liquidity using 5-minute data. Empirical results show that good news can increase the volatility and bad news can reduce the volatility for stocks with good llquidity, while good news can reduce the volatility and bad news can increase the volatility for stocks with bad liquidity.

作者王春峰巩兰杰房振明

机构地区天津大学金融工程研究中心

出处《北京航空航天大学学报（社会科学版）》 CSSCI 2008年第2期5-7,共3页 Journal of Beijing University of Aeronautics and Astronautics：Social Sciences edition Edition

关键词非对称的波动性杠杆效应流动性高频数据 Asymmetric Volatility leverage effect liquidity high-frequency data

分类号 F832.5 [经济管理—金融学]

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