结构突变对股市收益波动性的影响——来自中国沪深股市的经验分析

The Influence of Structural Breaks on the Stock Return Volatility——Evidence from China’s Shanghai and Shenzhen Stock Market

采用修正的ICSS算法检测我国沪深股市收益波动的结构突变点,并使用引入虚拟变量和标准差过滤的方法消除结构突变的影响,建立GARCH和FIGARCH模型检验结构突变对我国股市收益波动的实际影响。研究发现:沪深股市的收益波动表现出显著的长记忆性,且结构突变将导致对收益波动长记忆性的高估,表明我国股市还未达到弱式有效的水平,建立在"有效市场假说"基础上的金融数量模型并不完全适用于我国证券市场;采用修正的ICSS算法能够有效地捕捉到波动的结构突变点,引入虚拟变量和采用标准差过滤均能较好地消除结构突变的影响,而采用标准差过滤的方法的实证效果相对更好;我国股市收益波动存在显著的结构突变,且结构突变发生的时间均与重大政策或市场事件相对应,表明我国证券市场受到经济政策和市场活动的影响显著。为此,应尽可能保持政策的相对稳定,减少过度的行政干预,促进股市的市场化运行,并密切关注国内外经济发展形势对证券市场的可能冲击。

Based on the daily closing price indices of Shanghai and Shenzhen stock market,this paper empirically tests structural break points of return volatility of China＇s stock markets by using the modified ICSS algorithm,and two methods of dummy variables and standard deviation filtering are used to eliminate the influence of structural breaks respectively,then the GARCH and FIGARCH models are built to comparatively analyze the characteristics of stock market returns volatility before and after modification,and to mine the actual influence of structural breaks on stock market return volatility.The results find that the return volatility of Shanghai and Shenzhen stock market shows long-term memory and structural breaks lead to the overestimate of long-term memory of the return volatility,which reveals that China＇s stock market does not reach weakly effective level.Financial quantitative model based on ＂effective market hypothesis＂ is not completely fitting for China＇s stock market,the modified ICSS algorithm can effectively receive the structural breaks point of the volatility,virtual variables and standard deviation filtering can better get rid of the influence of structural breaks,however,the empirical result by using standard deviation filtering is relatively better.China＇s stock return volatility has obviously structural breaks,and the time for structural breaks is all responding to important policies and market events,which indicates that China＇s securities market is significantly affected by economic policies and market activities,thus,China should try to keep relative stability of the policies,reduce excessive administrative interference,boost marketization operation of the stock market,and closely concern about the possible attack of foreign and domestic economic development situation on China＇s securities market.