我国股市波动的长记忆性与货币政策的非对称性研究

Long-Memory Property of Chinese Stocks' Volatility and Asymmetric Effect of Monetary Policy

中国股市波动存在显著的长记忆性效应,这表明基于短记忆性过程的建模对股市波动结构的拟合可能是不充分的。本文对股市收益率进行了长记忆ARMA-FIEGARCH建模,并以此研究了利率和准备金率调整对股市波动的影响。研究发现:货币政策的上调和下调对股市波动存在显著的非对称效应,利率或准备金率上调消息公布后,股市波动性显著增加。而利率或准备金率下调消息公布后,市场的波动率没有明显变化;此外利率调整较之于准备金率调整对市场的影响更为显著。研究结果为管理层运用货币政策调控股票市场提供新的决策信息。

Shanghai Stock Market Thus has the propety of strong long-memory, the models based on the assnmption of short memory camnot,capture all the information. Using of the long memory ARMA - FIEGARCH model, we captured the dynamic structure of the return of Shanghai Stock Market, and studied the asymmetric impact of the of interest policy＇s adjustment on the stock volatility. We find that： upward and downward of monetary policy＇s adjustment have a notably asymmetric effect. The stock＇s volatility increased after the upward news, but after the down ward news, there is nearly no change on the volatility. Furthermore, interest change has a stronger effect than the reserve ratio change to the stock＇s volatility.