沪深股市波动性与“杠杆效应”问题再研究——基于非线性视域的GARCH族模型分阶段检验

发布时间：2018-10-29 14:59

【摘要】：在非线性视域下Bai-Perron多重结构突变检验的基础上,可采用GARCH族模型对我国沪深股市的波动性和"杠杆效应"问题进行重新研究1。研究认为,第一,沪深股市在样本期内分别发生了2次和1次结构突变,沪市突变时点为2005年2月1日和2007年10月16日,深市突变时点为2007年10月31日;第二,无论沪市还是深市,就其自身而言,波动性和"杠杆效应"在结构突变前后均表现出巨大的差异性,但比较沪深两市的总体特征却发现具有一定的趋同现象,尤其是在2007年10月结构突变之后的最近一段样本期内,两市的风险溢价行为均不存在,但却存在显著的非对称"杠杆效应",表现为利空消息比利好消息会给投资者带来更大的冲击;第三,对具有趋同效应的共同样本期进行联动效应研究,可以发现沪深股市股价指数之间存在显著的联动效应,而收益率序列之间却不存在联动效应。
[Abstract]:Based on the Bai-Perron mutiple structural mutation test under the nonlinear view, the volatility and "leverage effect" of China's Shanghai and Shenzhen stock markets can be re-studied by using the GARCH family model. The results show that, first, the Shanghai and Shenzhen stock markets have two and one structural mutations in the sample period. The mutation time of Shanghai stock market is February 1, 2005 and October 16, 2007, and that of Shenzhen stock market is October 31, 2007. Second, whether in Shanghai or Shenzhen, volatility and "leverage effect" show great differences before and after structural change, but comparing the overall characteristics of Shanghai and Shenzhen stock markets, we find that there is a certain convergence phenomenon. Especially in the most recent sample period following the structural change in October 2007, the risk premium behavior in both markets did not exist, but there was a significant asymmetric "leverage effect". The performance is that the bad news will bring more impact to the investors than the good news. Thirdly, by studying the linkage effect of the common sample period with convergence effect, we can find that there is a significant linkage effect between the stock index of Shanghai and Shenzhen stock market, but there is no linkage effect between the return series.
【作者单位】：浙江金融职业学院金融系;
【基金】：浙江省哲学社会科学规划课题“我国货币政策的资产价格效应问题研究”(13NDJC30YBM) 浙江省金融教育基金会重点课题“杭州发展互联网金融的思考与建议”(2014Z12)
【分类号】：F832.51;F224

【相似文献】