沪深股市在牛市和熊市阶段的波动非对称效应实证分析  

Empirical Analysis of Asymmetric Volatility of Shanghai and Shenzhen Securities Markets at the Stage of Bull and Bear Market

作　　者：乔润海[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100083

出　　处：《企业科技与发展（下半月）》2008年第7期196-198,212,共4页

摘　　要：本文分别采用EGAKCH-M、TGAKCH-M模型对沪深股市在牛市和熊市阶段的非对称波动效应进行了分析。这两个模型得出了相同的结论,在牛市阶段利好消息引起股市更大的波动.在熊市阶段利空消息引起股市更大的波动,而且这两个模型同时也说明了我国股市风险和收益的正相关关系,并从我国股票市场交易者构成和交易机制两方面说明了波动非对称的原因。EGARCH-M model and TGARCH-M model are used to examine the asymmetric volafility, of bull market and bear market in Shanghai stock market and Shenzhen stock market. The two models have the same result. At the stage of bull market, good news can cause higher volatility. But at the stage of bear market, bad news can cause higher volatility. What＇s more, the two mentioned models also show risk and return is positively correlated in China＇s two stock markets. Finally, we analyze the reasons of asymmetric volatility in terms of investor structure and transaction mechanism.

关 键 词：波动非对称 EGARCH-M模型 TGARCH—M模型 

分 类 号：F830.91[经济管理—金融学]