政府的买入式干预对平抑股市异常波动的有效性——基于ARCH模型的实证检验  

The Effectiveness of the Government's Purchase-method to Stabilizing a Stock Market Fluctuation:An Empirical Test Based on ARCH Model

作　　者：贺立龙[1] 李敬[1] 陈中伟[1] HE Li - long LI Jing CHEN Zhong - wei(School of Economic, Sichuan University, Chengdu 610041, China)

机构地区：[1]四川大学经济学院,四川成都610225

出　　处：《经济问题》2017年第4期35-40,共6页On Economic Problems

基　　金：四川省科技厅软科学项目(2016ZR0191);四川大学中央高校基金科研业务费研究专项项目(SKZX2015-GB09)

摘　　要：股票指数短期内持续大幅下跌,股价普遍大幅折损的现象被称为"股市的异常波动"。全球资本市场历史上出现过多次异常波动,政府有时会直接出资购买股票平抑股价,但其效果不一。因此,有必要对政府入市购买股票的救市效果进行实证测度。以我国2015年的"6.15"A股异常波动为背景,以上证综合指数为研究标的,通过实证方法,评估买入式干预救市政策的效果,讨论平准基金合理运用的问题。首先对异方差波动模型进行相应探讨,然后利用ARCH模型分析我国"6.15"A股异常波动中上证综合指数的价格波动。实证结果表明,政府买入式干预对于平抑股指下跌起到一定的作用,但施策效果有限。由上述结论出发,提出去杠杆、完善救市机制等一系列对策建议,主张加快资本市场制度改革,促进资本市场持续健康发展。The phenomenon which stock index and the stock~ price continued to fall sharply in the short term is generall several y known as stock market abnormal fluctuation. In the history of capital markets in global, there have been abnormal fluctuations. The government sometimes directly purchased the stocks to stabilize the price, but it doesntalways work. Therefore, it is necessary to measure effect of government purchasing. We will be in the back- groundof the China＇ s ＂6.15＂ A share~ market abnormal fluctuation in 2015, with the Shanghai composite index for the object of research, analyzing and assessing the effectiveness of buying policies, discussing the problem of ration- al use of the stabilization fund. We introduced and discussed the heteroscedastic fluctuation models at first, and then the ARCH model was used to analyze the price volatility of the Shanghai stock index in the ＂6.15＂ A share＇ s abnormal fluctuation. The empirical result showed that government＇ s purchase intervention played a role in stabi- lizing the stock fell, but the effect of policy is limited. Based on above results, we put forward a series of counter- measures and suggestions, such as deleveraging, improving the rescue mechanism and so on. We suggested that launch reforms of the capital markets, to promote sustainable and healthy development of the capital market.

关 键 词：波动 买入式 政府干预 平准基金 

分 类 号：F830.91[经济管理—金融学]