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

发布时间：2018-04-12 15:59

本文选题：波动 + 买入式　；参考：《经济问题》2017年04期

【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。
[Abstract]:The stock index continued to fall sharply in the short term, the stock price is generally significantly damaged the phenomenon known as "abnormal fluctuations in the stock market." in global capital markets history there have been many times of abnormal fluctuations, the government sometimes directly funded the purchase of stock to stabilize the stock price, but not one. Therefore, it is necessary for empirical measure of government intervention in the market to buy stock bailout effect. Based on China's 2015 "6.15" A stock abnormal fluctuations in the background, the Shanghai Composite Index as the research object, through empirical method, evaluation of intervention effect buying bailout policies, discuss the stabilization fund reasonable use. First, for the corresponding discussion on the fluctuation of heteroscedasticity model, and then analyzes the price the fluctuation of China's "6.15" A stock abnormal fluctuations in the Shanghai Composite Index by using ARCH model. The empirical results show that government intervention to buy a certain role to stabilize the stock market index fell, but the policy effect is limited. Based on the above conclusions, we put forward a series of countermeasures and suggestions, such as deleveraging and improving the bailout mechanism. It advocates accelerating the reform of capital market system and promoting the sustained and healthy development of capital market.

【作者单位】：四川大学经济学院;
【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)
【分类号】：F832.51

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