金融危机后中国股市波动性结构变化测度及其原因分析

Estimation for Change of Structure of China Stock Market′s Volatility After Financial Crisis and Reason Analysis

以2005年4月至2010年4月我国沪深300指数为研究对象,使用调整后的EGARCH模型,对金融危机前后中国股市的波动性进行研究。结果显示:金融危机发生后中国股市的波动性明显减弱———这与美国股市明显不同,且波动性结构发生了显著性变化,表现为美国股市对中国股市的影响减弱、中国股市波动的持久性增强等。最后,对产生这些变化的原因进行了理论分析,指出金融危机发生后贸易保护主义抬头、刺激性的宏观经济政策出台是中国股市波动性结构变化的可能原因。

Taking HS300 index as the research object,this paper uses the adjusted EGARCH model to study the impact of financial crisis on China stock market′s,volatility.The result shows that the volatility of China stock market has decreased obviously,which is different from America stock market′s,and the structure of volatility also happened the following changes：the impact of America stock market on China stock market is decreasing,and the persistence of China stock market′s volatility is enhancing.Finally,it points out that trade protectionism and active macro-economic police are the reason for these changes.