美国股市影响下的中国股市收益的非对称性研究

A Study on the Asymmetry of China's Stock Market Returns under the Influence of American Stock Market——Bayesian Inference Based on the Threshold GJR-GARCH Model

在美国股市和中国股市本身滞后信息的双重影响下,股改后中国股市收益均值及波动不对称。为了评估这种不对称效果,选定门限非线性的GARCH模型,结合GJR效应,利用基于M-H算法的贝叶斯推断的参数估计方法,分析中国股市收益均值和波动不对称的特点。选取S&P500指数、恒生指数、上证综指进行分析,发现了这种不对称性。同时还发现,美国股市对香港股市具有显著的溢出效应,但这种溢出效应更多地体现为美国股市利好消息对上海股市的影响,而利空或利好消息对上海股市的影响却比香港股市具有明显的滞后性。

Under the dual influence of American stock market and the lagging behind of the information of Chinese stock market, the mean value and the fluctuation of the stock market return in China after share reform become asymmetric. In order to estimate the asymmetric effect, the threshold nonlinear GARCH model is chosen, and combined with GJR effect, the authors try to catch the asymmetric characteristics of the mean value and the fluctuation of China＇ s stock market by using parameter estimation method based on M - H algorithm of Bayesian inference. S＆P500 Index, Hang Seng Index, and SSE Composite Index are analyzed to find the asymmetry. Meanwhile, the authors find out that American stock market has significant spillover effect on＇the stock market of Hong Kong, but the effect is better represented by the influence of good news from American stock market on Shanghai Stock Exchanges. Besides, the influence of bad or good news from American stock market on Shanghai stock market is far lagging behind its influence on Hong Kong stock market.