摘要
本文研究中国1992年-2012年间金融开放对中国证券市场收益波动的影响。选取上证综指收益率和深圳成指收益率为研究对象,将金融开放作为虚拟变量引入到模型中,运用GARCH(1,1)模型对数据进行分析。
This paper discuss about China＇s stock fluctuations gained on financial openness from 1992 to 2012. Select the Shanghai Composite Index and Shenzhen Component Index as the research objective and intro- duce the financial liberalization as dummy variables into the GARCH （1,1） model to analyze the data. The re- sults showed thatChina＇s financial liberalization has significant binding effect on stock market volatility.
出处
《特区经济》
2014年第3期46-47,共2页
Special Zone Economy
关键词
金融开放
股票市场
收益波动
虚拟变量
自回归条件异方差
financial openness
stock market
volatil-ity
dummy variables
Autoregressive conditional heteroskedasticity
