互联网金融概念股票收益波动是否具有特殊性?——基于ARCH模型族的检验

Is There a Particularity on the Volatility of Internet Financial Stock Return:A Test Based on ARCH Model Family

随着互联网技术的不断成熟和完善,"互联网+金融"这种全新的金融模式得到了前所未有的突破与发展,并对金融业的发展方向产生了影响。通过运用ARCH模型族对互联网金融概念上市公司的股票收益率波动性进行度量,探究该板块股票收益波动的一般特征及特有的规律。研究发现,互联网金融概念上市公司股票收益波动性从整体上呈现出与沪深300相似的基本特征,但同时又具有自身的特点:收益率呈现尖峰厚尾的特征,不符合正态分布;收益率序列为平稳时间序列,不存在单位根但存在明显的波动集聚性;对外部冲击反应的时间持续性有限,而且存在非对称效应,风险与收益存在明显的正相关性。

With the continuous maturity and perfection of Internet technology,the new financial model of ＂ Internet＋finance＂ has made unprecedented breakthroughs and development and has an impact on the development direction of financial industry. By using ARCH model family to measure the volatility of the stock returns of the Internet financial concept listed companies,this paper explores the general characteristics and special rules of the stock return fluctuation in this plate. The reearch results show that the stock return volatility of Internet financial concept listed companies presents the basic characteristics similar to those of Shanghai and Shenzhen 300 as a whole,but at the same time has its own characteristics： the return rate is characterized by leptokurtosis peak and thick tail and does not conform to normal distribution; the return sequence is a stationary time series and there is no unit root with obvious volatility clustering; the duration of reaction to external shocks is limited with asymmetric effects and there exists a clear positive correlation between risk and income.