中国股市与国际股市波动性的比较研究

Study of China's Stock Market and International Stock Market Volatility Comparison

以2009年2月至2010年9月的上证综指、道琼斯指数、日经225指数和富时100指数的日数据为研究对象,采用GARCH族模型在金融危机的背景下对我国股市及美国股市、日本股市、英国股市的波动性统计特征进行对比研究,分析我国股市波动性的特点及与国际股市的比较。研究结果显示,金融危机确实对中国以及其他三个世界重要经济体产生了不同程度的影响,国家的金融制度、开放水平和投资者的投资理念等差异都对本国股市的风险抵御和恢复能力产生了一定的影响。通过揭示我国证券市场波动的特点和趋势,能够为我国尚未健全的市场监管体制提供理论上的支持,有助于进一步加强对市场的监管,有效控制市场风险。

This article will use the CARCHs models to study the Volatility Statistical Properties of Shanghai Composite Index and the Dow Jones index, the Nikkei 225 index and the FTSE 100 index using data from 2009-2010,and give an analysis on the properties of Chinese stock market and other three International stock markets. The results show that the financial crisis indeed has different affects to China and other three countries, including the countries＂ financial system, the level of openness and investors have different investment philosophy such as the risk of the stock market on their own do have something to do with this results. The Chinese stock market has shown some advantages during financial crisis, but there are still many deficiencies and we have a long way to go.