中国股市的波动性及国际比较

Volatility in Chinese Stock Market:An International Comparison

本文通过描述性统计和基于GARCH模型族的计量分析，对上证A股综指、道指、富时100指数和日经225指数收益率序列有关波动性的基本特征进行了概括和比较，并得到基本结论：1998年7月至2008年7月期间，上海股市的总体波动性水平要高于其他三个股票市场：上海股市较高的波动性表现在日收益率序列、周收益率序列以及月收益率序列等多个时间维度上；同时，上海股市较高的波动性还表现在波动的幅度上和波动的频繁程度上。本文还指出，中国股票市场较高的波动性不能简单地从宏观经济波动性或对外金融开放角度来解释。

The paper examines and compares stock price index variability in Shanghai Stock Exchange's A-shares,Dow Jones Industrials,FT-SE 100,and Nikkei 225 over the period from July 1998-July 2008.We summarize some basic statistic parameters and conduct econometric analysis based on GARCH models.Our main finding is that during the period under study,the price volatility was the highest in Shanghai A-shares among the four,and this has been reflected individually in daily returns,weekly returns,and monthly returns.In addition,the high volatility in Shanghai A-shares may be observed in either of the two measurements,magnitude or frequency.The paper also suggests that the high volatility in Chinese A-shares may not be adequately explained by the country's macroeconomic fluctuations or external financial openness.