沪市主要板块指数市场波动实证分析

Empirical Analysis of Volatility of Index in Shanghai Stock Market

GARCH-M模型通常应用于预期收益与预期风险密切相关的领域,根据金融理论股票的风险越大,其收益也就越高,故可认为股票收益的指数变动依赖于一个常数。利用GARCH-M模型和EGARCH-M模型对沪市主要板块指数进行实证分析。结果显示沪市重要板块指数日收益率存在信息非对称效应、高风险对应高回报。

GARCH-M model has been used in the field where the expected return and the expected risk were closely related.According to the theory of finance,the greater the risk of financial stocks,the more the benefits.So we know the returns of stock index change dependent on a constant.Using GARCH-M model and the EGARCH-M model to make empirical analysis to major plates index in Shanghai stock market,the results show that the Shanghai important plate index existence asymmetry effects of information,and high risk investment corresponding to high returns.