| 上海股票市场波动的非对称性和杠杆效应研究 |
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| 引用本文： | 闫涛,孙涛.上海股票市场波动的非对称性和杠杆效应研究[J].济南金融,2009(6):71-73. |
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| 作者姓名： | 闫涛 孙涛 |
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| 作者单位： | 南京航空航天大学经济与管理学院,江苏南京210016 |
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| 基金项目： | 教育部人文社会科学基金项目“战略并购中目标公司定价方法及其应用研究”（批准号07JA630039）. |
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| 摘 要： | 基于人们对股票市场波动"利好"利坏"消息反应程度的不同,本文利用国外证券市场比较成熟的非对称ARCH族理论,对我国上海股票市场建立了ARCH、TARCH、EGARCH模型进行实证检验分析,得出上海股票市场的波动具有非对称性和杠杆效应,坏消息会导致比好消息更大波动性的结论。
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| 关 键 词： | 价格波动 ARCH模型 非对称性 杠杆效应 |
Research on the Asymmetry and Leverage Effect of Shanghai Stock Market's Fluctuation |
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| Abstract: | Based on people＇ s different reactions on the ＂good＂ or ＂bad＂ news for the stock market, this article uses ARCH models which are relatively mature in foreign securities market to do empirical test on shanghai stock market, concluding that the fluctuations of shanghai stock market have the feathers of asymmetry and leverage, moreover, bad news can make fluctuations bigger than good news. |
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| Keywords: | price fluctuations ARCH model asymmetry leverage |
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