中国股票市场的信息反应曲线和股票价格波动的非对称性  

Information Response Curves and Its Asymmetry of Stock Price Fluctuation in China Stock Markets

作　　者：刘金全[1] 于冬[1] 崔畅[1] 

机构地区：[1]吉林大学数量经济研究中心

出　　处：《管理学报》2006年第3期262-265,共4页Chinese Journal of Management

基　　金：国家自然科学基金资助项目(70471016)国家社会科学基金资助项目(05BJL019)教育部人文社会科学重点研究基地2005年度重大研究资助项目(05JJD790078)吉林大学"985工程"资助项目

摘　　要：股票价格波动对于市场信息的反应过程具有非对称性。通过利用多种非对称性GARCH 模型,描述和检验了沪市股票日收益率序列的条件波动性,并通过对股票市场信息影响曲线的分析,发现沪市股票价格波动中存在显著的非对称性反应。这说明股市波动对于不同的政策干预和信息冲击具有不同程度的反应,“利好消息”对股市的刺激作用仍然需要其他市场干预的配合才能发挥出来。Stock price fluctuation impacts the response of the stock information asymmetrically. The conditional fluctuation of stock day turn in Shanghai stock markets were described and tested by using many asymmetric GARCH models. After analyzing the information response curves, it was found that the stock price fluctuation in Shanghai stock markets showed its asymmetry obviously. It was concluded that stock market fluctuation responded to the interferences of different economic pollcies and the impact of the information differently, and that ＂good news＂ incentives for stock market investors to buy stocks should be assisted by other market interruptions.

关 键 词：波动性 非对称性 GARCH模型 信息影响曲线 

分 类 号：F224.0[经济管理—国民经济]