非对称与时变:中外证券市场波动性特征的比较研究

Asymmetry and Time-varying: the Comparative Study on Volatility Futures between Chinese and International Security Markets

波动性是证券市场最为重要的特征之一,20世纪60年代以来人们开始进行系统性研究。传统的研究都是通过刻画单一证券市场历史波动来预测未来波动,这就要求这些波动要具备跨期稳定性。事实上,我们通过大量实证研究表明,证券市场的波动具有跨期时变特征,并表现出非对称性,而且随着世界经济的一体化发展趋势,各国证券市场波动之间具有日渐明显的关联效应。我们通过建立低频EGARCH-GED模型,从总体上印证了中国及美国、英国、日本等国际证券市场波动具有非对称性与时变特征,并进行了动态定量分析。最后从中国政策的影响、信息披露的完善、投资者的素质等角度定性分析了我国证券市场波动非对称性时变特征的形成过程。

Volatility is one of the most important characteristics of security market, which has attracted systematic research since 1960s. In order to forecast the volatility futures, traditional research is always based on modeling a single security market, which requests the volatility having the features of cross-term stability. In fact, the volatil- ity has time-varying features of cross-term and asymmetry by number of empirical studies. With the globalization of world economy, volatility spillovers of security markets among countries are becoming increasingly significant. Firstly, we have examined the overall asymmetry and time-varying features of the Chinese and international stock markets including United States, Japan and United Kingdom through the low-frequency EGARCH model. Moreover, we have made a dynamic quantitative analysis on volatility of the international security markets. Finally, these qualitative phenomena have been explained from such respects as the perspective of Chinese police, the improvement of information disclosure, the quality of investors and so on.