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中国股市波动率与收益率的因果关系研究 被引量：3

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摘要 文章以上证综指2000年到2008年高频数据为例,基于Dufour、Taamouti(2010)测量短期和长期因果关系的方法构建了一个关于收益率与波动率的向量自回归线性模型,用来测量和比较了中国股票市场收益率和波动率之间的动态杠杆效应、波动率反馈效应等因果关系。实证结果表明我国股票市场无论是对已实现波动率还是对二次变差前三天都有较强的动态杠杆效应,而波动率反馈效应在所有的时间跨度上都可以忽略不计,并且收益率和波动率之间的瞬时因果关系在有些时间跨度上较显著。
作者 杨科 林洪
机构地区 中山大学岭南学院 广东商学院
出处 《统计与决策》 CSSCI 北大核心 2010年第21期123-127,共5页 Statistics & Decision
基金 国家自然科学基金资助项目(70673116) 国家社科基金重点课题(08ATL007) 国家社会科学基金资助项目(07BTJ012)
关键词 杠杆效应 波动率反馈效应 因果关系测量
分类号 F830 [经济管理—金融学] F064.1 [经济管理—政治经济学]
  • 相关文献

参考文献14

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二级参考文献17

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共引文献29

同被引文献29

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引证文献3

二级引证文献9

统计与决策
2010年 第21期

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