中国股市波动性的隐周期研究

Research on Implicit Cycle of Volatility in Chinese Stock Market

本文运用频谱分析理论研究中国股市波动中的隐周期特征.研究结果表明,中国股市波动中不存在隐周期规律。这一结果表明中国股市市场效率得到提高,股市波动结构特征较数年前有较大的变化.并支持中国股市较高的波动性既可能是由集中而强烈的新信息冲击引起的,也可能是由于市场对信息冲击的吸收能力较差所致,两个层次的因素共同决定了股价的波动这一结论.

In this article, we analyze the characteristics of the implicit cycle of volatility in Chinese stock market by the theory of frequency spectrum. We hold that there does not exist the implicit cycle of volatility in Chinese stock market. From this research we know that the Chinese stock market efficiency obtains the enhancement and the volatility structure have a greater change than several year ago. We also believe that the higher volatility in Chinese stock market is may caused by the centralized and fierce new message and by the worse market absorbency in the shock of message. Both lead to the stock price＇s volatility.