摘要
为检验中国公司债市场波动的非对称效应,通过分析中证公司债指数收益率的统计特征,借助AR-EGARCH模型进行实证分析。分析结果表明,中国公司债市场受信息影响较大,公司债市场对于利空消息的反应要强于同等程度的利好消息对公司债市场的影响,表明公司债市场存在明显的杠杆效应。
Based on the statistics test of corporate bond returns and using AR-EC-ARCH model for empirical research, the asymmetric effect of the volatility in China＇s corporate bond markets is investigated. The empirical results show that China＇s corporate bond markets are greatly affected by the information. Moreover, the corporate bond markets respond more strongly to the negative news than the positive news, there is a significant leverage effect in the corporate bond markets.
出处
《桂林电子科技大学学报》
2017年第2期159-162,共4页
Journal of Guilin University of Electronic Technology
基金
国家自然科学基金(71461005)
桂林电子科技大学研究生教育创新计划(2016YJCX48)
广西大学生教育创新计划(201510595264)
