上证国债指数“杠杆效应”的检验与分析  

An Empirical Study and Analysis of the "Leverage Effect" in Shanghai Stock Exchange Government Bond Index

作　　者：夏天[1] 仲健心[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《扬州大学学报（人文社会科学版）》2008年第5期56-60,共5页Journal of Yangzhou University(Humanities and Social Sciences Edition)

摘　　要：上证国债指数是中国国债价格的一个很好标尺。研究国债指数的波动性特征对于认识国债市场的波动有着很大的帮助。对近三年来上证国债指数进行实证分析,指出了其收益率分布的"尖峰厚尾"以及条件异方差的存在。同时采用三种不对称ARCH模型,TARCH,EGARCH,非对称CARCH验证了该指数的不对称"杠杆效应"。从行为金融学和市场参与者交易行为的角度来分析国债指数为什么存在"杠杆效应"的原因。Shanghai Stock Exchange Government Bond Index is a very good benchmark for China＇s government bond market. The study on the volatility of the government bond index helps a lot in knowing about the fluctuation of the bond market. This paper empirically analyzes the govemment bond index for the past three years. We find the existence of the high peak, fat tail and conditional heteroskedasticity. We use three different ARCH models, including TARCH, EGARCH and asymmetric CARCH model to prove the existence of the leverage effect. Finally, the paper tries to explain why leverage effect exists in the government bond index from behavioral finance＇s perspective.

关 键 词：上证国债指数 波动性 不对称 杠杆效应 ARCH 

分 类 号：F812.5[经济管理—财政学]