摘要
本文将影响股票市场的政策信息区分为“好消息”和“坏消息”。通过EGARCH模型研究中国股票市场对“好消息”与“坏消息”的不平衡性反应。指出“好消息”对我国股票市场的影响大干“坏消息”的影响，这与国外股票市场的情况正好相反。根据这一结果本文创建了“信息效应曲线”，具体分析我国股票市场对“好消息”与“坏消息”的不平衡性反应的特征，提出现有交易机制下的股价波动模式。
We catgorize policy information into 'good news' and 'bad news' and investigate the asymmetric effects of them on China's Stock Markets using exponential ARCH models.We find that the effect of good news on China's Stock Markets is more significant than those of bad news,which is different from what have been found in many foreign stock markets.According to the empirical results,we create a 'news-return curve' to analyze the characteristics of the asym- metric effects.Finally,we point out several problems for further research.
出处
《经济学（季刊）》
2004年第2期319-330,共12页
China Economic Quarterly
基金
国家社会科学基金项目(03CJY024)
国家自然科学基金项目(70273062)资助
