沪, 深股市波动不对称性的实例分析.pdfVIP

2007 年 　1月 　数理统计与管理 Jan, 2007 第 26 卷 　第 1期 　　　　App lication of Statistic s and M anagem ent　　　　　　Vol26　No1 　　文章编号 : 1002 - 1566 (2007) 0 1 - 0 172 - 06 沪 、深股市波动不对称性的实证分析 1 2 聂富强 　宋国军 ( 1. 西南财经大学 ,成都 , 610074　2. 中国人民银行青岛中心支行 , 26600 1) 摘要 :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 。 关键词 :波动不对称 ;常系数变量 EGARCH 中图分类号 : F83 1. 1　　　　　　　　　　文献标识码 : A Em p ir ica l Ana ly sis of the A symm etr ic Vola tility in Shan gha i an d Shenzhen Stock M arkets N IE Fu q iang, SON G Guo jun ( Graduate Schoo l, Sou thwe stern U n iversity of F inance and Econom ic s, Chengdu Sichnan 610074) A b stract: W e exam ine the asymm etric p rice and vo latility in Ch inas two m ajor stock m arkets by u sing the con stan t correlation EGARCH model. A nd we found there exits a un ilateral retu rn sp illovers from Shenzhen stock m arket to Shanghai stock m arket, bu t a b ilateral sp illovers are found after the op enne ss to dom e stic inve stors of B share s. A lso we found the sign ificantly a symm etric vo latility in both Shanghai and Shenzhen stock m arkets during the who le p eriod, but th is trend wa s not found in Shenzhen stock m arket before op enne ss to dom e stic inve stors of B share s as shanghai stock m arket. Though the sign ifican tly a symm etric vo latilityare found in the se two stock m arkets after the op enne ss to dom estic investors of B shares. Key word s: a symm etric vo latility; con stan t correlat