中国股票市场报酬与波动的GARCH-M模型

Some Studies of the Volatility and Stock Return on China Stock Markets Using GARCH-M

运用 GARCH-M模型对上海和深圳股票市场的市场波动特征以及市场波动和报酬间的关系进行了实证研究 ,探讨引起我国股票市场波动较大 ,收益相对较低的原因 .同时分析涨跌停板交易制度对市场报酬和波动产生的影响 .

This article analyses the relation of the volatility and stock return on China stock markets using GARCH-M model, and looks for the reason why there are large volatilities and low return. At the same time, We want to find if the changes of trade system would make some influence on the markets.