金砖国家股票市场收益波动性比较研究

Fluctuation of Stock Market Returns in BRICS

本文运用ARCH族模型对金砖国家股票市场的收益波动性进行有效度量,探究新兴经济体的股票市场行为与特征。研究发现,金砖国家股票市场收益波动性从总体上看呈现出与发达国家成熟股市相似的基本特征,但同时又具有自身的特点。金砖国家股市收益率具有波动频繁、波动幅度大的特征,存在着非对称ARCH效应,市场抗风险能力相对较弱,投资者所要求的风险补偿较高。

This paper examines the features and policy effects of BRICS stock markets through ARCH methodological analysis.It shows that BRICS stock markets have some different features compared to the mature countries' markets while sharing some basic similarities with the latter.As an outstanding example,the return of BRICS stock market is characteristic of frequent fluctuation and tends to produce asymmetric ARCH effects.Also the markets have a weak ability of resisting risks that causes higher risk compensation of investors.