上海证券市场分阶段特征分析

The Characteristics Analysis of Shanghai Stock Market in Different Stages Based on EGARCH Model

基于EGARCH模型,对上证A股指数20年的股票指数数据分阶段建模,从整体分析自1990年以来上海证券市场的发展情况.得出结论:上海证券市场具有明显的尖峰厚尾特征和ARCH效益,序列的误差服从广义误差分布(GED),通过非对称检验得知市场具有明显的杠杆效应.总体来说,随着时间的发展,上海证券市场趋于成熟,投资者趋于理性.

This article analyzed the characteristics of stock returns of Shanghai A share index in different stages based on the E-GARCH model.There was ARCH effect in Shanghai Stock Market and the error sequence was subject to the generalized error distribution（GED）.Further more,the ARCH effect was asymmetric.Overall,during the past 20 years,the Shanghai Stock Market has become more mature and investors have became more rational.