基于金融危机事件窗上证A股的实证研究

Empirical study of Shanghai A-share on basis of event window of financial crisis

鉴于次贷危机的爆发,中国受到美国金融危机影响的持续时间在扩大,中国的股票市场受到了较为严重的冲击.我们有必要利用ARCH族模型在金融危机发生前后对上证A股的对数收益水平和风险水平进行实证分析.分析结果表明,金融危机前收益水平为0.002 533,金融危机后收益水平降低到-0.003 049,收益水平降低的幅度较大.金融危机前风险水平为0.051 759,金融危机后风险水平为0.058 045,金融危机发生后股市收益水平降低,风险水平增加.

In view of the sub-prime crisis, the effect of the US financial crisis on China is be- ing more and more , China＇ s stock market has been more serious impacted. This paper used ARCH family of models to analysis the logarithmic return level and the risk level of Shanghai A -share before and after the financial crisis. The results showed that： the level of return was 0. 002 533 before the financial crisis, the level of return reducese to - 0. 003 049 after the financial crisis, a significant reduction in return level, the risk level was 0.051 759 be- fore the financial crisis, the level of risk is 0.058 045 after the financial crisis, the level of stock market return level was reduced and risk level was increased after the financial crisis.