| 中国A股市场收益波动的非对称性研究 |
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| 引用本文： | 何晓光,朱永军.中国A股市场收益波动的非对称性研究[J].数理统计与管理,2007,26(1):164-171. |
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| 作者姓名： | 何晓光 朱永军 |
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| 作者单位： | 1. 广东商学院金融学院,广州,510320
2. 南开大学国际经济研究所,天津,300072 |
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| 摘 要： | 本文运用ARMA—EGARCH及ARMA-TARCH模型,以1993年1月以来沪深两市的A股指数的日收益为研究样本,检验中国股票市场是否存在波动的非对称性,结果表明:无论是上证还是深证A股市场,收益率波动的非对称性都表现出阶段性特征,股市发展早期,市场表现为反向的非对称性或非对称不明显,随着时间的发展,股市收益的波动则存在非对称性,且表现为杠杆效应。
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| 关 键 词： | 股票市场 非对称性 杠杆效应 ARMA——EGARCH |
| 文章编号： | 1002-1566(2007)01-0164-08 |
| 修稿时间： | 2005-06-03 |
An Empirical Study on the Asymmetry Volatility of China A Share Stock Market |
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| HE Xiao-guang,ZHU Yong-jun.An Empirical Study on the Asymmetry Volatility of China A Share Stock Market[J].Application of Statistics and Management,2007,26(1):164-171. |
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| Authors: | HE Xiao-guang ZHU Yong-jun |
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| Institution: | 1. GuangDong University of Business Studies,Guangzhou510320 ;2. Nankai Institute of Internatitional Economics, Tianjin300072 |
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| Abstract: | In this paper,The ARMA(m,n)-EGARCH(p,q) and ARMA(m,n)- TARCH(p,q) model is used to fit and analyze the asymmetry volatility of China stock market.The samples are the close prices of Shanghai and Shenzhen A share index from January in 1993.The findings are: In different period,Both in Shanghai and Shenzhen A share Stock Market,the asymmetry of information on Volatility of the stock return rate present stage characteristic.In the initial stages of the stock market,reverse asymmetry volatility or no asymmetry volatility character is present,along with the development of the stock market,the asymmetry volatility and leverage effect are present. |
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| Keywords: | ARMA--EGARCH |
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