基于行为金融的中国股市波动非对称性研究  

Research on asymmetric volatility in stock-market based on behavioral finance

作　　者：兆文军[1] 于奇[1] 

机构地区：[1]大连理工大学经济系,辽宁大连116024

出　　处：《大连理工大学学报（社会科学版）》2008年第3期30-34,共5页Journal of Dalian University of Technology(Social Sciences)

基　　金：大连理工大学人文社科基金项目(DUTHS2007324)

摘　　要：股票市场波动特征的研究,对于利用金融衍生品管理投资风险具有重要意义。行为金融的发展为研究股票市场的波动性提供了新视角和新方法。投资者是否理性是传统金融理论与行为金融理论的重要区别。从投资者非理性角度分析,过度自信、羊群行为和处置效应是中国股票市场非对称性波动的主要原因。通过引入行为金融前景理论中的价值函数,修正EGARCH模型,并以上证A股指数为样本进行了实证检验。结果表明,中国股票市场的波动非对称性显著存在,同等程度的利好信息的影响更大。The research on volatility characteristics of stock market is significant for using financial derivates to manage risks of investment.The development of behavioral finance provides a new angle of view and a new method to study volatility of stock market.Whether the investors are rational is the main difference between traditional theory and behavioral finance.Based on the analyses of investor's non-rational behavior,it is shown that overconfidence,herd behavior and disposition effect are the main reasons to asymmetric volatility of stock market in China.By importing value function in prospect theory of behavioral finance,the authors modify the model of EGARCH which is used for the research of asymmetric volatility of stock market,then use A-stock index in Shanghai Stock Exchange as a sample for empirical research.The results show that the asymmetric volatility definitely exists in China,and the same degree of good news has greater impact than the bad news.

关 键 词：EGARCH模型 行为金融 价值函数 非对称性 

分 类 号：F224[经济管理—国民经济]