摘要
采用门限随机波动率(THSV)模型,从实证的角度分析中国股票市场对利好消息和利空消息的非对称反应。为了估计THSV模型的参数,提出基于有效重要性抽样(EIS)技巧的极大似然(ML)估计方法。采用上证综合指数和深证成份指数的日收益数据为样本进行的实证研究表明,利好消息和利空消息对中国股票市场的影响具有非对称性。具体而言,与利好消息相比,同等程度的利空消息引起中国股票市场更高的波动率以及波动率持续性,这说明中国股票市场对利空消息的反应程度要大于对利好消息的反应程度。
This paper employs the threshold stochastic volatility(THSV)model to investigate empirically the asymmetric responses of Chinese stock market to good and bad news.In order to estimate the parameters of the THSV model,the maximum likelihood(ML)method is proposed based on the efficient importance sampling(EIS)technique.We apply the THSV model to the daily returns of Shanghai Stock Exchange(SSE)composite index and Shenzhen Stock Exchange(SZSE)component index of China.Strong evidence of asymmetries is discovered in Chinese stock market.Specifically,the volatility is found to be higher and more persistent when bad news impacts the market than when good news of the same magnitude does.This leads support to the belief that bad news has a larger impact on Chinese stock market than good news of the same magnitude.
出处
《系统工程》
CSSCI
CSCD
北大核心
2015年第8期78-83,共6页
Systems Engineering
基金
国家自然科学基金资助项目(71101001)
教育部人文社会科学研究项目(14YJC790133)
安徽省自然科学基金资助项目(1408085QG139)
安徽省高等学校省级优秀青年人才基金资助项目(2013SQRW025ZD)
关键词
股票市场
非对称性
门限随机波动率模型
有效重要性抽样
极大似然
Stock Market
Asymmetry
Threshold Stochastic Volatility Model
Efficient Importance Sampling
Maxi-mum Likelihood