我国医疗保健行业股指收益率波动特征与杠杆效应  

Volatility Characteristics and Leverage Effect of Stock Index Returns of China′s Healthcare Industry Based on Markov Switching Model

作　　者：金春雨[1] 郭沛[2] 程浩[2] 

机构地区：[1]吉林大学数量经济研究中心,长春130012 [2]吉林大学商学院,长春130012

出　　处：《商业研究》2012年第8期125-132,共8页Commercial Research

基　　金：国家社科基金项目;项目编号:10BJL041;教育部人文社会科学研究规划基金项目;项目编号:08JA790054

摘　　要：本文运用SWARCH模型分析了我国医疗保健板块收益率的波动,并将医疗保健板块收益率与上证综指、深证成指收益率的SWARCH模型的估计结果进行比较,得出以下结论:医疗保健指数收益率序列呈现出低、中、高三种波动状态,样本区间主要分布于中波动状态,低波动状态的平均持续期最长、中波动状态的平均持续期居中、高波动状态的平均持续期最短,医疗保健指数收益率波动杠杆效应显著;我国股市医疗保健板块收益率波动状态之间的差异高于沪深综指波动状态的差异,医疗保健指数收益率与沪深综指收益率区制转移趋同,但存在着细微差异;医疗保健指数收益率各区制间转移相对频繁,每种波动状态的平均持续期较短,股市医疗保健板块收益率对新信息的反应更为敏感。In this paper, SWARCH model is used to analyze the stock index returns of China＇s healthcare industry, and we compare the estimation results of stock index returns of healthcare industry with the results of Shanghai Stock Ex- change Composite Index and Shenzhen Stock Exchange Component Index. The following conclusions can be drawn： The volatility of index returns of healthcare industry demonstrates low, medium and high states, the sample of returns series is mainly distributed in medium - volatility state, and the average duration of low - volatility state is the longest, the medi- um- volatility state is in the medium, the high- volatility state is the shortest, leverage effect of volatility in healthcare index returns is significant. The difference of returns volatility states of healthcare industry index is higher than that of Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index. Regime switching features of returns volatility of Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index are similar to healthcare industry, but there are subtle differences. The three regimes of healthcare index returns shift frequently, and the average duration of each regime is short, meaning that healtheare index returns is more sensitive to new informa- tion.

关 键 词：马尔可夫区制转移 杠杆效应 股指收益率 平滑概率 医疗保健行业 

分 类 号：F224.0[经济管理—国民经济] R195[医药卫生—卫生统计学]