中美股市波动特征比较研究:基于ARCH类模型的实证分析

The Comparison of Features of the Chinese and U.S. Stock Markets Fluctuations:An Empirical Analysis based on the ARCH Models

本文利用ARCH类模型对沪深300指数和道琼斯工业指数2005年4月8日到2010年3月22日的指数数据进行实证检验,研究表明:第一,中美股票市场都存在明显的集聚效应;第二,中美股票市场都存在明显的风险溢价效应,美国股市的风险补偿高于中国股市;第三,美国股票市场有明显的杠杆效应,然而中国股市杠杆效应不如美国明显;第四,美国股票市场对中国股票市场存在较为显著的单向溢出效应。

This article empirically tests the data of CSI 300 Index and Dow Jones industrial average from April 8,2005 to March 22,2010 with ARCH models.The results show that: first,both Chinese and U.S.stock markets face obvious agglomeration effects;second,Chinese and U.S.stock markets face obvious risk premium effects,while the U.S.stock market's risk premium is slightly higher than that of Chinese stock market;third,the U.S.stock market shows significant leverage effects,while the leverage effects of Chinese stock market is not so significant;fourth,the U.S.stock market has a significant one-way spillover effect on Chinese stock market.