基于ARMA-EGARCH模型的国内股票有效需求量波动性研究

Study on the Volatility of Effective Stock Demand in China Based on ARMA-EGARCH Model

通过对国内股票有效需求量在不同阶段中的波动性特征进行实证研究,结果发现,股票收益率的波动对于股票有效需求量的波动在所有样本区间内都具备明显的溢出效应;而且,仅就股票有效需求量在每个交易日之间的相对波动率而言,市场制度基础的逐渐改革、发展和完善,对于其稳定性水平也能显著地发挥影响作用;所以,若要实现股票供求的良性平衡,则应设法维护市场指数的相对稳定,对其具有不可忽视的积极意义。另外,后续的制度建设和改革,也是其中重要的决定因素之一。

An empirical analysis is made on the characteristics of volatility of effective stock demand in China. The results show that the volatility of stock return has significant spillover effect on the volatility of effective stock demand in all the sample intervals. Besides, as far as the comparative volatility of effective stock demand of each trading day is concerned, the gradual reform, development and perfection of stock market institution influence the stability of the volatility of effective stock demand. Therefore, in order to achieve benign balance of the demand and supply of stocks, it is important to maintain the relative stability of market index, and pay great attention to later institutional construction and reform.