沪、深股市波动不对称性的实证分析

本支应用系数多变量EGARCH模型来研究我国沪深股市的波动不对性,结果发现:在全样本时期,收益率呈现深市向沪市的单向溢出,而沪深两市则都呈现显著的波动不对称性特征。分时段来考察,B股对境内投资者开放前后呈现收益率由深市向沪市的单向溢出到双向溢出现象;而波动性的实证结果则显示,以B股对境内投资者开放为间断点,沪市波动不对称性有明显加强的趋势,而深市波动不对称性则呈现由不显著到显著的特征。

Empirical Analysis of the Asymmetric Volatility in Shanghai and Shenzhen Stock Markets

We examine the asymmetric price and volatility in China's two major stock markets by using the constant correlation EGARCH model. And we found there exits a unilateral return spillovers from Shenzhen stock market to Shanghai stock market,but a bilateral spillovers are found after the openness to domestic investors of B shares.Also we found the significantly asymmetric volatility in both Shanghai and Shenzhen stock markets during the whole period,but this trend was not found in Shenzhen stock market before openness to domestic investors of B shares as shanghai stock market.Though the significantly asymmetric volatilityare found in these two stock markets after the openness to domestic investors of B shares.