文档介绍：华中科技大学
硕士学位论文
我国股票市场波动非对称性的实证研究
姓名:袁兴兴
申请学位级别:硕士
专业:数量经济学
指导教师:周少甫
20050401
摘要
中国股市作为新兴的资本市场素有消息市政策市的称号其波动
更多地受到制度变迁等因素的影响从而表现出一定的阶段性因而本文将我国沪
深两市的指数收益率序列各分为两部分进行研究首先对各序列作正态性平稳性
检验经分析得知可以应用基于t分布的EGARCH-M模型对我国股票市场波动的非对称
性作实证分析实证结果表明第一阶段 1990年 1996年沪市中不存在波动的
非对称性即是回报的负冲击对市场造成的波动与同等程度的正冲击导致的波动基
本上没有差异但是与上海股票市场不同的是深圳股票市场中回报的负冲击对市
场造成的波动比同等程度的正冲击导致的波动要小这与我们通常所讲的杠杆效
应相反第二阶段 1997年 2004年沪深两市中都存在显著的杠杆效应
即回报的负冲击对市场造成的波动比同等程度的正冲击导致的波动要大在第二阶
段中我国股市与国外成熟股市一样存在着信息对股市波动的非对称性影响这
一点也说明我国股市在不断的发展与完善之中,正在朝着成熟股市迈进
此外,从实证的角度可以发现,中国股票市场的投机成分在不断减少投资者不
断趋于理性当然,与工业国家的成熟股票市场比较起来,仍有很大的差距因此,在
规范上市公司完善退市制度培育机构投资者等方面,我国仍然有相当长的路要走
认识我国股市的波动特点可以为投资者规避风险以及为政府对股市的监管提供
决策依据从而更有利于我国股市健康繁荣的发展
关键词波动 EGARCH-M 非对称性杠杆效应
I
Abstract
Being a new emerging market China’s stock market is often called “information
market”“policy market”. Impacted by the institution transition, its violation shows
temporarily or periodically. So this article does researches on Shanghai and Shenzhen
stock markets’ receiving rate respectively. Firstly, this article finds out we can do
empirical research on the asymmetries of the volatility of our stock market, through
EGARCH-M model based on t-distribution. The empirical results show that during the
first period (1990-1996), Shanghai market did not exist volatility’s asymmetries that is
receiving negative shock on the market is not different from the same degree’s positive
shock, but different from shanghai stock market, in Shenzhen stock market the degree of
receiving negative shock on market’s volatility is smaller than the same degree positive
shock, which means the leverage effect exists in Shen’s market; during the second period
(1997-2004) the leverage effect exists in both Shanghai and Shenzhen stock market that is
the negative shock is bigger than the positive shock. During this course, China’s and
foreign stock markets all exist the asymmetries’ impact, which also means our market is
developing rapidly an