我国沪市股市波动集群性实证研究

The Empirical Research on the Volatility Clustering of Stocks in Shanghai Exchanges in China

在我国股票市场发展日趋成熟的今天,股票价格的波动率作为度量股市风险的最重要的一个工具,一直备受经济金融各界的广泛关注。而其中,股票价格的波动集聚性是股票市场波动规律中最明显的特征之一。该文针对我国沪市股市所有综合指数、行业指数及部分个股,以上证指数日收盘价为样本,基于2002年1月4日至2012年3月23日的收盘价数据利用广义自回归条件异方差模型(GARCH)对上证指数的波动进行拟合,结果表明,广义自回归条件异方差模型(GARCH)对我国股市波动具有较好的拟合效果。

Volatility,as one of the most important tools to measure the risk in the stock market,has been paid much attention to by the scholars and the operators.The paper chooses all of the stock index and industry index,part of individual stocks in the Shanghai and Shenzhen stock market as the research objects and collects the daily closing price between January the fourth,2002 and March the 23rd,2012.By adopting ARCH model and GARCH model,it takes an all -round study in selected stock index and stocks.It estimates the volatility of industry index and individual stocks,and analyzes the traits of volatility and correlation between the industry index and the individual stocks.