基于ARCH模型的我国股票市场收益波动性研究

Volatility in Stock Market Earnings in China:An ARCH Model Approach

运用ARCH模型对我国股指日收益率及波动性进行实证研究,探索我国股指收益率波动特征。实证研究结果表明:上证综指日收益率呈现明显的波动集群性特征,因此我国证券市场表现出的波动幅度和风险性要大大高于国外成熟的资本市场;我国股票市场存在显著的信息非对称性和杠杆效应,尤其是股票市场好消息导致的市场波动比同等大小的坏消息引起的波动要小。研究结果显示回归模型存在自回归条件异方差,这表明我国股票市场波动具有条件异方差效应。

This paper uses ARCH model to make an empirical analysis of daily stock market earnings ratio and its volatility in China. The analysis points to evident volatility in daily earnings ratio of SSE Composite Index, and thus, Chinese securities market is more volatile and risky than foreign mature capital markets. There is significant asymmetric information and leverage effect in Chinese stock markets and good news results in smaller volatility in stock market than bad news. The regression model demonstrates autoregressive conditional heteroskedasticity indicating ARCH effect in market volatility.