宏观经济信息宣告的股市收益及波动性效应——基于改进的AR(1)-EGARCH(1,1)-M模型的实证检验

基于改进的AR(1)-EGARCH(1,1)-M模型,从收益率和波动性两个方面考察各类宏观信息宣告对股票市场价格行为的影响.结果表明,居民消费价格指数和商品零售价格指数对股票市场的收益有负向影响;国内生产总值、社会消费品零售总额、公开市场操作利率变动率和企业景气指数对股票市场的收益有正向影响;公开市场操作公告会导致股票市场条件收益率显著增加;其余各类宏观信息因素对股票市场收益的波动性并不存在显著影响.

The Effect of Macroeconomic Information Announcement on Stock Market Return and Volatility

Based on the improved AR(1)-EGARCH(1,1)-M model,the impact of macroeconomic information announcement on the price behavior in stock market is estimated from two aspects,namely,the return and volatility.The results show that the return of stock market is influenced by macroeconomic information announcements.There is negative influence of CPI,RPI on the return of stock market,and positive influence of GDP,RS,OMP,BCI on stock market return.The conditional volatility of the return is not influenced significantly by most of macroeconomic information announcements except for OMP,which increases significantly with OMP.