中国股市价格和波动性的非线性行为实证研究

深沪综合指数的收益率不服从正态分布,收益率是负斜的,呈现胖尾和峰态;其收益率序列均服从有着分形概率分布的持久性时间序列,它们遵循有偏随机游动,市场表现出较强的趋势行为和非周期循环特征,深市非周期循环为4个月,而沪市为6个月,深沪股市月收益率序列则为确定性的混沌序列;而沪深股市的波动性也呈现出一定程度的不对称特征,沪深股市之间还存在着波动性的溢出效应,深市还存在着一定的杠杆效应,而且,沪深股市之间还存在着明显的波动性的溢出效应.

Study of Nonlinear Behavior on Price and Volatility of Chinese Stock Markets

The empirical distribution of the five-day′s return on SHCSPI(Shanghai composite stock price index) and SZCSPI(Shenzhen composite stock price index) has ″fat tail″ and no finite variance with sharp peak at mean,which can not be normally distributed because the largest negative return possible.The consistence of trend to go up and down for the composite stock price index can be shown in the stock market.It is also found that the monthly return series of Chinese Stock Market is chaotic but daily return series and weekly return series were found noisy.There are volatility spillovers between SZCSP and SHCSPI,Besides that the leverage effect is found in Shenzhen stock market.Moreover asymmetric volatility exists in the two stock market.