基于EGARCH-M模型的伊斯兰股票市场稳定性研究  

A Study on the Stability of Islamic Stock Markets Based on the EGARCH-M Model

作　　者：黄立君[1] 晋同祥 HUANG Li-jun;JIN Tong-xiang(Business School,China University of Political Science and Law,Beijing 100088,China)

机构地区：[1]中国政法大学商学院

出　　处：《甘肃理论学刊》2019年第6期107-115,I0003,共10页Gansu Theory Research

摘　　要：通过分析传统股票市场和伊斯兰股票市场的收益率和波动率在面对不利冲击时的反应,发现不利冲击对传统股票市场的影响都要大于伊斯兰股票市场,这说明伊斯兰股票市场在稳定性方面具有一定的优越性,抵御风险的能力要强于传统股票市场。从伊斯兰股票市场的运行特点和投资者两个角度来看,三个原因保证了伊斯兰股票市场拥有较好的稳定性:首先伊斯兰教义对上市公司的行业限制和财务数据限制,保证了上市公司的高质量;其次,相应的监管机构定期为投资者筛选出符合伊斯兰教义的公司,从而在市场上增加了这类公司获得投资的机会,在一定程度上也限制了那些高风险企业发展的机会;最后,公司和投资者都重视契约精神,公司注重所披露的经营信息的高质量、风险共担、利润共享以及禁止投机的原则也会使投资者努力去监督企业的经营活动,避免其经营高风险的业务,从而使得伊斯兰股票市场更加稳定。By analyzing the different reaction of the rate of return and market volatility of the traditional and Islamic stock market facing adverse shocks,we found that the effect of adverse shocks on traditional stock market is greater than that of the Islamic stock market,which verifies the superiority of Islamic stock markets as to the market volatility and the ability to resist risks.From the perspective of investors and the operational characteristics of Islamic stock market,three reasons ensure its advantage in stability.Firstly,industry and financial data restrictions of Shariah on the listed companies guarantee the high quality of listed companies.Secondly,the corresponding regulators screen Shariah-compliant companies for investors,thereby increasing the opportunities for such companies to obtain investment in the market,and limiting the development of high-risk companies in a way.Finally,both companies and investors value the contract.The company pays attention to the high quality of the disclosed business information.The principle of risk sharing,profit sharing and prohibition of speculation will also enable investors to supervise the business activities of the company and avoid its operation on high-risk business,which makes the Islamic stock market more stable.

关 键 词：伊斯兰股票市场 传统股票市场 稳定性 

分 类 号：F831.5[经济管理—金融学]