我国中小企业板市场与主板市场波动性对比研究  

A Comparative Study of The Volatility Between SME Board Market and Main Board Market

作　　者：张文娟 

机构地区：[1]中南财经政法大学新华金融保险学院

出　　处：《中南财经政法大学研究生学报》2011年第2期95-102,共8页Journal of the Postgraduate of Zhongnan University of Economics and Law

摘　　要：本文首先选用沪深300指数和中小企业板综合指数2005年6月7日至2010年12月31日期间的统计数据进行了基本的统计分析。在此基础上,分别利用GARCH(1,1)模型、GARCH(1,1)-M模型、EGARCH模型、相关性分析、Granger因果分析以及脉冲-响应分析对我国主板市场和中小企业板市场两市波动性关系进行了实证研究,得到了较为满意的结果。研究结果表明:主板市场与中小企业板市场都存在明显的风险溢价;主板市场不存在非对称效应,而中小企业板市场存在明显的非对称效应;两市之间存在很强的正相关性且主板市场收益率的波动是中小企业板市场的Granger原因;主板市场对中小企业板市场具有短期的冲击效应。This paper used basic statistical data of the Shanghai and Shenzhen 300 Index and the SME board index which from June 7,2005 to December 31,2010 for statistical analysis.On this basis,respectively,using GARCH(1,1)model,GARCH(1,1)-M model,EGARCH model,correlation analysis,Granger causality and impulse-response analysis to study the SME board and the motherboard market and their relationships between the volatility of an empirical study with satisfactory results.The results show that:the motherboard market and the SME board exist obvious market risk premium;motherboard market does not exist asymmetric effects,and SME Market exist obvious asymmetric effect;There is a strong positive correlation between the two Boards and the Volatility of Main Board is the the Granger causes of SME board market;the Main Board has a short-term effects on the SME board market.

关 键 词：波动性 GARCH模型 EGARCH模型 非对称效应 

分 类 号：F224[经济管理—国民经济] F832.51