政策因素对股票市场波动的非对称性影响

Impacts of policy factors on volatility of stock markets

政策因素对中国股票市场的波动具有重要影响.首先对中国股票市场的政策因素进行系统的分类并量化;其次,以上证综合指数收益率的标准差及上、下半标准差度量股票市场波动性,应用多元回归模型,从市场总体和不同市场环境两个方面分析了各类政策因素对我国股票市场波动的影响.研究发现:政策因素是影响我国股市波动的主要因素,其在牛市行情中对市场波动的影响大于熊市行情,对股市向下波动的解释程度大于向上波动的解释程度.研究结果表明:政策因素更容易在牛市行情中对股市波动产生影响,更容易引起股市向下波动.

Policy factors are important factors of causing stock market volatility. This paper systematically cat- egorizes the policy factors and quantifies them according to their effects on Chinese stock markets. Using standard deviation, upside and downside half standard deviations of Chinese stock market index returns to measure the volatility of stock markets, we construct a multivariate regression model to study the impacts of these factors on the volatility of stock markets from aspects of the overall Chinese stock market as a whole and different stock market conditions. We find that policy factors significantly affect the stock market volatility, in- cluding both upward and downward volatility. In particular, we find that policy factors explain more changes of stock market volatility in the bull market than in the bear market, and they have a higher ability in explaining the downward volatility than the upward volatility.