股权分置、后股权分置与股市波动性

Equity Division,Post-equity Division and the Volatility of Stock Market

始于2005年的股权分置改革是我国股市经历的一次重大制度性变革,无疑会对我国股市的波动性产生重要的影响。本文运用ARCH族模型实证分析了上证A指和深成A指在股权分置时期和后股权分置时期的波动性,并对其可能的原因进行了分析。研究发现:(1)股权分置改革对上证A指和深成A指的影响是不同的,显著增加了深成A指的波动性,而并未显著增加上证A指的波动性;(2)新信息引起的波动减小了;(3)股权分置时期的杠杆效应很明显,而后股权分置时期存在一定程度的反杠杆效应,但是并不显著;(4)后股权分置时期的长期波动大于股权分置时期的长期波动,波动具有更长的记忆特性。

The reform of non-tradable shares beginning at 2005 was an important institutional change in China's stock market which no doubt had profound influence on the volatility of the market.This paper conducts an empirical study using the ARCH models to analyze the volatility of the Shanghai A-share index and Shenzhen component A-share index both in equity division period and post-equity division period,meanwhile the possible reasons are explored.It finds out that:(1)reform of non-tradable shares increases significantly the volatility of Shenzhen component A-share index,whereas it does not increases significantly the volatility of Shanghai composite A-share index;(2)volatility caused by new information is smaller;(3)leverage effect in equity division period is very obvious,while there is somewhat reverse leverage effect in post equity division period,but not significant;(4)the long-term volatility which has longer memory in post equity division period is greater than that of equity division period.In the end of this paper the related advices are proposed.