基于ARCH模型的股票和可转债市场收益率波动特征比较  

Comparison on Yield Volatility of Chinese Stock Market and Convertible Bonds Market Based on ARCH Models

作　　者：李华[1] 陈鹏[2] 

机构地区：[1]辽宁科技大学经济与法律学院金融系 [2]上海建筑设计研究院有限公司,上海200041

出　　处：《数学的实践与认识》2008年第13期48-52,共5页Mathematics in Practice and Theory

基　　金：国家重点基础研究发展规划项目(G1999032805)

摘　　要：基于ARCH系列模型,对我国股票市场和可转债市场收益率的波动特征进行实证分析,得出这两个市场收益率具备一些相同的特征如高峰粗尾、波动聚集等,但是可转债市场却没有股票市场上常见的杠杆效应.Based on the ARCH models, the yield volatility of Chinese stock market and convertible bonds market are demonstrated. Yield of the two markets have the same characters such as thick tails, high kurtosis and volatility but the stock market has leverage yet the convertible bonds market hasn＇t the character.

关 键 词：ARCH 收益率 波动性 

分 类 号：F832.51[经济管理—金融学] F224