沪深股市收益率及波动性特征分析研究  

Research of Shanghai and Shenzhen stock earnings rate and volatility characteristics analysis

作　　者：许悦[1] 

机构地区：[1]暨南大学数学系

出　　处：《特区经济》2010年第11期122-123,共2页Special Zone Economy

摘　　要：中国金融市场的波动性从来都是备受关注的,本文对2000年1月4日～2010年5月26日沪深两市的收益率数据进行实证研究,得出中国金融市场收益率具有尖峰厚尾的特征和ARCH效应。并检验股市的溢出效应与杠杆效应等一系列特征,得出深市具有单向的溢出效应以及沪深两市具有正的杠杆效应。最后结合中国的股市现状给出相关分析与建议。China financial market has always been of concern.This paper conducts an empirical study on the daily return data of shanghai composite index and Shenzhen component index from January 4th,2005 to May 26th,2010.The result shows that China financial market daily return has the features like leptokurtosis,heavy-tailed and remarkable ARCH effects.Some features of financial time series such as spillover effect and leverage effect have been examined.It shows that Shenzhen stock market has a one-way spillover effect and both Shanghai and Shenzhen stock market have a positive leverage effect.Based on the current situation of China stock market,we provide analysis and suggestion.

关 键 词：波动性 溢出效应 杠杆效应 

分 类 号：F224[经济管理—国民经济] F832.51