我国股市波动的典型化特征与动态时变相关性研究  

Study on the stylized characteristic and dynamic correlation of the volatility of China stock market

作　　者：王茁宇[1] 王永莲[2] 

机构地区：[1]宁波大学商学院,浙江宁波315211 [2]吉林大学商学院,吉林长春130012

出　　处：《科技与管理》2016年第2期84-90,共7页Science-Technology and Management

摘　　要：利用1996年12月17日至2015年1月5日间我国沪深A、B股的对数收益率数据构建DCC-FIAPARCH模型分析我国股市波动的典型化特征和股市间的动态相关性。研究结果表明:我国股市波动均存在显著的波动聚类、长记忆性和非对称性特征,其中且沪市A股的波动聚类特征、深证A股的非对称特征和沪市B股的长记忆性特征相对较为突出。我国沪深股市的A、B股间的动态相关性显示出较强的时变动态特征,波动幅度整体呈现递减的规律,且易受类似金融危机等重大经济金融事件的影响,各类股票综指间的动态相关性由于股权结构、投资主体和市场信息的不同而存在较大的差异。We build DCC-FIAPARCH model to analyze the stylized facts and dynamic correlation of China＇s stock market volatility with the data of A-share and B-share of the Shanghai and Shenzhen stock exchanges from 17/12/ 1996 to 5/1/2015. The results of the model show that there were significant characteristic of volatility clustering, long memory and asymmetric in the volatility of China stock market, in which the volatility clustering in the A-share of Shanghai stock exchange, the asymmetric in B-share of Shenzhen stock exchange, and the long memory in the B- share of Shanghai stock exchange are more significant. The results of the dynamic correlation shows the existence of significant time-varying characteristics and less volatility as times goes on, and apt to influence by some important economic and financial events. While there are some difference between the dynamic correlations, because of the difference of ownership structure, investors and market information in the two stock exchange.

关 键 词：长记忆性 非对称型 动态条件相关 

分 类 号：F276.3[经济管理—企业管理]