摘要
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.
出处
《经济管理》
CSSCI
北大核心
2011年第10期115-120,共6页
Business and Management Journal ( BMJ )
基金
国家社会科学基金项目"中国与全球股票市场价格波动的动态相关性研究"(11CJY105)
国家自然科学基金项目"跨期条件下Beta系数时变对资产定价影响机理"(71073067)
吉林省软科学项目"吉林省发展基金产业的可行性研究(2011B031)"
教育部留学归国人员科研启动基金项目"基于市场摩擦条件下信息冲击与证券价格波动的微观传导机理研究"(2006331)